Message encoding and transmission across multiple platforms

ABSTRACT

A data processing system is configured to perform a computer implemented method for facilitation of efficient processing of electronic messages via a network from message sources. The method includes receiving an electronic message including actionable object data and textual object data from a message source device. The actionable object data includes parameters actionable by at least one data processing transaction device to perform data processing transactions external to the network device and the textual object data including descriptors of the parameters actionable by the at least one data processing transaction device. The textual object data is operable by devices incompatible with the actionable object data. The method includes calculating an execution command for the data processing transaction in response to the actionable object data and based on at least the parameters of the actionable object data.

CROSS REFERENCE TO PRIOR APPLICATION

This application is a continuation under 35 U.S.C. § 120 and 37 C.F.R. §1.53(b) of U.S. patent application Ser. No. 15/788,399 filed Oct. 19,2017, which is hereby incorporated by reference in its entirety.

FIELD

The following embodiments relate to message encoding and transmissionthrough multiple platforms including at least one platform forperforming actions based on the message and at least one platform fordisplaying text related to the message and/or forwarding the message toother platforms.

BACKGROUND

A data transaction processing system receives electronic datatransaction request messages specifying transactions to be performed.Incoming messages may include requests for transactions which aretriggered by, or otherwise perform actions on, the data objects atspecified values. Whether or not the attempted actions are executed orperformed depend in part on the values submitted with the incomingmessages and/or the rules and processing routines programmed into a datatransaction processing system.

One example of an environment including data objects having specifiedvalues is an electronic trading system wherein the values may besubmitted by participants, e.g. traders. A variety of trading systems,communication systems, and operating systems within the environment mayhinder the exchange of data objects through the environment. Somesystems may not be configured for processing certain types of dataobjects. Others would be able to process portions of the data object butare not compatible with the data objects and cannot parse them for thecompatible data. The following embodiments meet these challenges in animproved data transaction processing system.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an illustrative computer network system that may be usedto implement aspects of the disclosed embodiments.

FIG. 2 depicts an illustrative embodiment of a general computer systemfor use with the disclosed embodiments.

FIG. 3 depicts an illustrative embodiment of a communication system toimplement aspects of the disclosed embodiments.

FIG. 4 depicts an illustrative embodiment of a control sequence diagramto implement aspects of the disclosed embodiments.

FIG. 5 depicts an illustrative embodiment of a communication window forone or more of the devices in the communication system of FIG. 3.

FIG. 6 depicts an illustrative embodiment of data object control in thecommunication window of FIG. 5.

FIG. 7 depicts an illustrative embodiment of data object control in thecommunication window of FIG. 5.

FIG. 8 depicts a flow chart for implementing aspects of the disclosedembodiments.

DETAILED DESCRIPTION

The disclosed embodiments relate generally to a data processing systemor instant messaging system that processing electronic messages orinstant messages including at least two portions. The messages areversatile messages that include an actionable portion (e.g., electronicdata transaction request message) including actionable object data and atextual portion (e.g., instant message) including textual object data.The textual object data may include any type of text including personalmessages sent from user to user. The textual object data may be aquasi-instructional request such as “please place the attached order” ora personal message that is independent of the actionable object datasuch as “hi, how is the family?” A variety of devices or platforms mayreceive the messages in the same form and process the messagesdifferently. Some devices or platforms may initiate one or more exchangefunctions in response to the messages. Some devices or platforms mayactively display and/or request user input in response to the messages.Some devices or platforms may passively transmit the messages (i.e.,send the messages from one device to the next). The platforms mayinclude an end user platform for the devices used by the instantmessaging participants and capable of generating the actionable objectdata, a networking platform used by the communication devices andcapable of forwarding or displaying data indicative of the actionableobject data, and an exchange platform using to perform the transactionsdescribed by the actionable object data.

The functions for the exchange platform may include orders ortransactions to implement a strategy. For example, when the dataprocessing system is implemented within a financial exchange computingsystem, the users may be traders who submit orders to buy or sellfinancial instruments at specific values. Trader strategies may rapidlyvary with the state of an electronic marketplace, and may accordinglynecessitate submission of many additional electronic messages, which maybe related to previously submitted electronic messages.

The versatile messages improve the data processing system by making thesystem more efficient. The versatile messages improve the dataprocessing system by reducing the number of hardware and/or softwarecomponents. Because a single message may include actionable object dataand textual object data, the single message replaces an actionablemessaging system and a text messaging system. Fewer messaging systemsmeans reduced the computational resources (e.g., processors, memory,communication circuitry, or other hardware). Because a single message isused rather than dual messaging systems, fewer messages are used, whichalso reduces the computational resources (e.g., processors, memory,communication circuitry, or other hardware) and specifically, reducesthe bandwidth requirements between devices in the system.

The versatile messages improve the data processing system by improvingthe efficiency of the user operation. Because a single message mayinclude actionable object data and textual object data, the user is notrequired to switch between an actionable messaging system and a textmessaging system, which saves time for the user. The user does notswitch between interfaces of different systems and/or spend timegenerating messages in both systems.

The disclosed embodiments also improve upon the technical field ofnetworking by integrating the actionable messaging system with the textmessaging system. The disclosed embodiments also improve on the field ofdata processing by reducing the hardware components required for instantmessages. The disclosed system is a specific implementation andpractical application of a hardware based device that coordinates thecontrol of electronic messages among multiple platforms.

The disclosed embodiments may be directed to an exchange computingsystem that includes multiple hardware matching processors that match,or attempt to match, electronic data transaction request messages oractionable object data with other electronic data transaction requestmessages counter thereto.

Incoming electronic data transaction request messages may be receivedfrom different client computers over a data communication network, andoutput electronic data transaction result messages may be transmitted tothe client computers and may be indicative of results of the attempts tomatch incoming electronic data transaction request messages.

The disclosed embodiments may be implemented in a data transactionprocessing system that processes data items or objects. Some devices inthe data transaction processing system may be configured to performtransactions in responses to certain data objects, and other devices inthe data transaction processing system display data included in the dataobjects. Other devices may merely forward the data objects. Customer oruser devices (e.g., computers) may submit electronic data transactionrequest messages, e.g., inbound messages, to the data transactionprocessing system over a data communication network. The electronic datatransaction request messages may include, for example, transactionmatching parameters, such as instructions and/or values, for processingthe data transaction request messages within the data transactionprocessing system. The instructions may be to perform transactions,e.g., buy or sell a quantity of a product at a range of values definedequations. Products, e.g., financial instruments, or order booksrepresenting the state of an electronic marketplace for a product, maybe represented as data objects within the exchange computing system. Theinstructions may also be conditional, e.g., buy or sell a quantity of aproduct at a given value if a trade for the product is executed at someother reference value. The data transaction processing system mayinclude various specifically configured matching processors that match,e.g., automatically, electronic data transaction request messages forthe same one of the data items or objects. The specifically configuredmatching processors may match, or attempt to match, electronic datatransaction request messages based on multiple transaction matchingparameters from the different client computers. The specificallyconfigured matching processors may additionally generate informationindicative of a state of an environment (e.g., the state of the orderbook) based on the processing, and report this information to datarecipient computing systems via outbound messages published via one ormore data feeds. For example, one exemplary environment where thedisclosed embodiments may be desirable is in financial markets, and inparticular, electronic financial exchanges, such as a futures exchange,such as the Chicago Mercantile Exchange Inc. (CME).

The data processing system may include a network of network devices. Anetwork device receives an electronic message including actionableobject data and textual object data from a message source device. Theactionable object data includes one or more parameters actionable by atleast one exchange device. The textual object data includes one or moredescriptors of the one or more parameters actionable by the at least oneexchange device. The textual object data is operable by devicesincompatible with the actionable object data. The network device isconfigured to calculate an execution command in response to theactionable object data. The execution command is based on at least theone or more parameters of the actionable object data. The network deviceis also configured to send a data transaction request message includingthe execution command to the at least one exchange device and to senddata for display based on the textual object data including the one ormore descriptors of the one or more parameters actionable by theexchange device to a display device other than the at least one exchangedevice.

A financial instrument trading system, such as a futures exchange, suchas the Chicago Mercantile Exchange Inc. (CME), provides a contractmarket where financial instruments, e.g., futures and options onfutures, are traded using electronic systems. “Futures” is a term usedto designate all contracts for the purchase or sale of financialinstruments or physical commodities for future delivery or cashsettlement on a commodity futures exchange. A futures contract is alegally binding agreement to buy or sell a commodity at a specifiedprice at a predetermined future time. An option contract is the right,but not the obligation, to sell or buy the underlying instrument (inthis case, a futures contract) at a specified price on or before acertain expiration date. An option contract offers an opportunity totake advantage of futures price moves without actually having a futuresposition. The commodity to be delivered in fulfillment of the contract,or alternatively the commodity for which the cash market price shalldetermine the final settlement price of the futures contract, is knownas the contract's underlying reference or “underlier.” The underlying orunderlier for an options contract is the corresponding futures contractthat is purchased or sold upon the exercise of the option.

The terms and conditions of each futures contract are standardized as tothe specification of the contract's underlying reference commodity, thequality of such commodity, quantity, delivery date, and means ofcontract settlement. Cash settlement is a method of settling a futurescontract whereby the parties effect final settlement when the contractexpires by paying/receiving the loss/gain related to the contract incash, rather than by effecting physical sale and purchase of theunderlying reference commodity at a price determined by the futurescontract, price. Options and futures may be based on more generalizedmarket indicators, such as stock indices, interest rates, futurescontracts and other derivatives.

An exchange may provide for a centralized “clearing house” through whichtrades made must be confirmed, matched, and settled each day untiloffset or delivered. The clearing house may be an adjunct to anexchange, and may be an operating division of an exchange, which isresponsible for settling trading accounts, clearing trades, collectingand maintaining performance bond funds, regulating delivery, andreporting trading data. One of the roles of the clearing house is tomitigate credit risk. Clearing is the procedure through which theclearing house becomes buyer to each seller of a futures contract, andseller to each buyer, also referred to as a novation, and assumesresponsibility for protecting buyers and sellers from financial loss dueto breach of contract, by assuring performance on each contract. Aclearing member is a firm qualified to clear trades through the clearinghouse.

An exchange computing system may operate under a central counterpartymodel, where the exchange acts as an intermediary between marketparticipants for the transaction of financial instruments. Inparticular, the exchange computing system novates itself into thetransactions between the market participants, i.e., splits a giventransaction between the parties into two separate transactions where theexchange computing system substitutes itself as the counterparty to eachof the parties for that part of the transaction, sometimes referred toas a novation. In this way, the exchange computing system acts as aguarantor and central counterparty and there is no need for the marketparticipants to disclose their identities to each other, or subjectthemselves to credit or other investigations by a potentialcounterparty. For example, the exchange computing system insulates onemarket participant from the default by another market participant.Market participants need only meet the requirements of the exchangecomputing system. Anonymity among the market participants encourages amore liquid market environment as there are lower barriers toparticipation. The exchange computing system can accordingly offerbenefits such as centralized and anonymous matching and clearing.

A match engine within a financial instrument trading system may comprisea transaction processing system that processes a high volume, e.g.,millions, of messages or orders in one day. The messages are typicallysubmitted from market participant computers. Exchange match enginesystems may be subject to variable messaging loads due to variablemarket messaging activity. Performance of a match engine depends to acertain extent on the magnitude of the messaging load and the workneeded to process that message at any given time. An exchange matchengine may process large numbers of messages during times of high volumemessaging activity. With limited processing capacity, high messagingvolumes may increase the response time or latency experienced by marketparticipants.

The disclosed embodiments recognize that electronic messages such asincoming messages from market participants, i.e., “outright” messages,e.g., trade order messages, etc., are sent from client devicesassociated with market participants, or their representatives, to anelectronic trading or market system. For example, a market participantmay submit an electronic message to the electronic trading system thatincludes an associated specific action to be undertaken by theelectronic trading system, such as entering a new trade order into themarket or modifying an existing order in the market. The electronicmessage may include a textual portion that operates independently ordependently from the associated specific action to be undertaken by theelectronic trading system. When the textual portion is dependent on theassociated specific action, the textual portion may describe the action(e.g., describe the new trade order in one or more of price, quantity,ticker, or strategy). When the textual portion is independent from theassociated specific action, the textual portion may include a supportinginformation for the associated specific action (e.g., party name,account name, time of the order) or conversational information (e.g.,salutation or personal messages) from the market participant or anotheruser.

As used herein, an electronic message, refers both to messagescommunicated by market participants to an electronic trading or marketsystem and vice versa. The messages may be communicated using packetingor other techniques operable to communicate information between systemsand system components. Some messages may be associated with actions tobe taken in the electronic trading or market system. In particular, inone embodiment, upon receipt of a request, a token is allocated andincluded in an acknowledgment transmission sent back to the participantacknowledging receipt of the request. It should be appreciated thatwhile this shallow acknowledgment is, in some sense, a response to therequest, it does not confirm the processing of an order included in therequest. The participant, i.e., their device, then sends back atransmission control protocol (TCP) acknowledgment which acknowledgesreceipt of the shallow acknowledgment and token.

Electronic messages communicated to the electronic trading system, alsoreferred to as “inbound” messages, may include associated actions thatcharacterize the messages, such as trader orders, order modifications,order cancellations and the like, as well as other message types.Inbound messages may be sent from market participants, or theirrepresentatives, e.g., trade order messages, etc., to an electronictrading or market system. For example, a market participant may submitan electronic message to the electronic trading system that includes anassociated specific action to be undertaken by the electronic tradingsystem, such as entering a new trade order into the market or modifyingan existing order in the market. In one exemplary embodiment, theincoming request itself, e.g., the inbound order entry, may be referredto as an iLink message. iLink is a bidirectional communications/messageprotocol/message format implemented by the Chicago Mercantile ExchangeInc.

Electronic messages communicated from the electronic trading system,referred to as “outbound” messages, may include messages responsive toinbound messages, such as confirmation messages, or other messages suchas market update messages, quote messages, and the like. Outboundmessages may be disseminated via data feeds.

Electronic messages may further be categorized as having or reflectingan impact on a market or electronic marketplace, also referred to as an“order book” or “book,” for a traded product, such as a prevailing pricetherefore, number of resting orders at various price levels andquantities thereof, etc., or not having or reflecting an impact on amarket or a subset or portion thereof. In one embodiment, an electronicorder book may be understood to be an electronic collection of theoutstanding or resting orders for a financial instrument.

For example, a request to place a trade may result in a responseindicative of the trade either being matched with, or being rested on anorder book to await, a suitable counter-order. This response may includea message directed solely to the trader who submitted the order toacknowledge receipt of the order and report whether it was matched, andthe extent thereto, or rested. The response may further include amessage to all market participants reporting a change in the order bookdue to the order. This response may take the form of a report of thespecific change to the order book, e.g., an order for quantity X atprice Y was added to the book (referred to, in one embodiment, as aMarket By Order message), or may simply report the result, e.g., pricelevel Y now has orders for a total quantity of Z (where Z is the sum ofthe previous resting quantity plus quantity X of the new order). In somecases, requests may elicit a non-impacting response, such as temporallyproximate to the receipt of the request, and then cause a separatemarket-impact reflecting response at a later time. For example, a stoporder, fill or kill order, also known as an immediate or cancel order,or other conditional request may not have an immediate market impactingeffect, if at all, until the requisite conditions are met.

An acknowledgement or confirmation of receipt, e.g., a non-marketimpacting communication, may be sent to the trader simply confirmingthat the order was received. Upon the conditions being met and a marketimpacting result thereof occurring, a market-impacting message may betransmitted as described herein both directly back to the submittingmarket participant and to all market participants (in a Market By Price“MBP” e.g., Aggregated By Value (“ABV”) book, or Market By Order “MBO”,e.g., Per Order (“PO”) book format). It should be appreciated thatadditional conditions may be specified, such as a time or price limit,which may cause the order to be dropped or otherwise canceled and thatsuch an event may result in another non-market-impacting communicationinstead. In some implementations, market impacting communications may becommunicated separately from non-market impacting communications, suchas via a separate communications channel or feed.

It should be further appreciated that various types of market data feedsmay be provided which reflect different markets or aspects thereof.Market participants may then, for example, subscribe to receive thosefeeds of interest to them. For example, data recipient computing systemsmay choose to receive one or more different feeds. As market impactingcommunications usually tend to be more important to market participantsthan non-impacting communications, this separation may reduce congestionand/or noise among those communications having or reflecting an impacton a market or portion thereof. Furthermore, a particular market datafeed may only communicate information related to the top buy/sell pricesfor a particular product, referred to as “top of book” feed, e.g., onlychanges to the top 10 price levels are communicated. Such limitationsmay be implemented to reduce consumption of bandwidth and messagegeneration resources. In this case, while a request message may beconsidered market-impacting if it affects a price level other than thetop buy/sell prices, it will not result in a message being sent to themarket participants.

An exemplary trading network environment for implementing tradingsystems and methods is shown in FIG. 1. An exchange computer system 100receives messages that include orders and transmits market data relatedto orders and trades to users, such as via wide area network 162 and/orlocal area network 160 and computer devices 150, 152, 154, 156 and 158,as described herein, coupled with the exchange computer system 100.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions herebefore orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements which may alsoinclude, in combination, additional elements not listed.

The exchange computer system 100 may be implemented with one or moremainframe, desktop or other computers, such as the example computer 200described herein with respect to FIG. 2. A user database 102 may beprovided which includes information identifying traders and other usersof exchange computer system 100, such as account numbers or identifiers,user names and passwords. An account data module 104 may be providedwhich may process account information that may be used during trades.

A match engine module 106 may be included to match bid and offer pricesand may be implemented with software that executes one or morealgorithms for matching bids and offers. A trade database 108 may beincluded to store information identifying trades and descriptions oftrades. In particular, a trade database may store informationidentifying the time that a trade took place and the contract price. Anorder book module 110 may be included to compute or otherwise determinecurrent bid and offer prices, e.g., in a continuous auction market, oralso operate as an order accumulation buffer for a batch auction market.A market data module 112 may be included to collect market data andprepare the data for transmission to users.

A risk management module 114 may be included to compute and determine auser's risk utilization in relation to the user's defined riskthresholds. The risk management module 114 may also be configured todetermine risk assessments or exposure levels in connection withpositions held by a market participant. The risk management module 114may be configured to administer, manage or maintain one or moremargining mechanisms implemented by the exchange computer system 100.Such administration, management or maintenance may include managing anumber of database records reflective of margin accounts of the marketparticipants. In some embodiments, the risk management module 114implements one or more aspects of the disclosed embodiments, including,for instance, principal component analysis (PCA) based margining, inconnection with interest rate swap (IRS) portfolios, as describedherein.

A message management module 116 may be included to, among other things,receive, and extract orders from, instant messages or electronicmessages including a text portion and an electronic data transactionportion. The message management module 116 may define a point of ingressinto the exchange computer system 100 where messages are ordered andconsidered to be received by the system. This may be considered a pointof determinism in the exchange computer system 100 that defines theearliest point where the system can ascribe an order of receipt toarriving messages. The point of determinism may or may not be at or nearthe demarcation point between the exchange computer system 100 and apublic/internet network infrastructure. The message management module116 processes messages by interpreting the contents of a message basedon the message transmit protocol, such as the transmission controlprotocol (“TCP”), to provide the content of the message for furtherprocessing by the exchange computer system.

The message management module 116 may also be configured to detectcharacteristics of an order for a transaction to be undertaken in anelectronic marketplace. For example, the message management module 116may identify and extract order content such as a price, product, volume,and associated market participant for an order. The message managementmodule 116 may also identify and extract data indicating an action to beexecuted by the exchange computer system 100 with respect to theextracted order. For example, the message management module 116 maydetermine the transaction type of the transaction requested in a givenmessage. A message may include an instruction to perform a type oftransaction. The transaction type may be, in one embodiment, arequest/offer/order to either buy or sell a specified quantity or unitsof a financial instrument at a specified price or value. The messagemanagement module 116 may also identify and extract other orderinformation and other actions associated with the extracted order. Allextracted order characteristics, other information, and associatedactions extracted from a message for an order may be collectivelyconsidered an order as described and referenced herein.

Order or message characteristics may include, for example, the state ofthe system after a message is received, arrival time (e.g., the time amessage arrives at the MSG or Market Segment Gateway), message type(e.g., new, modify, cancel), and the number of matches generated by amessage. Order or message characteristics may also include marketparticipant side (e.g., buyer or seller) or time in force (e.g., a gooduntil end of day order that is good for the full trading day, a gooduntil canceled ordered that rests on the order book until matched, or afill or kill order that is canceled if not filled immediately).

An order processing module 118 may be included to decompose delta-based,spread instrument, bulk and other types of composite orders forprocessing by the order book module 110 and/or the match engine module106. The order processing module 118 may also be used to implement oneor more procedures related to clearing an order. The order may becommunicated from the message management module 118 to the orderprocessing module 118. The order processing module 118 may be configuredto interpret the communicated order, and manage the ordercharacteristics, other information, and associated actions as they areprocessed through an order book module 110 and eventually transacted onan electronic market. For example, the order processing module 118 maystore the order characteristics and other content and execute theassociated actions. In an embodiment, the order processing module mayexecute an associated action of placing the order into an order book foran electronic trading system managed by the order book module 110. In anembodiment, placing an order into an order book and/or into anelectronic trading system may be considered a primary action for anorder. The order processing module 118 may be configured in variousarrangements, and may be configured as part of the order book module110, part of the message management module 118, or as an independentfunctioning module.

As an intermediary to electronic trading transactions, the exchangebears a certain amount of risk in each transaction that takes place. Tothat end, the clearing house implements risk management mechanisms toprotect the exchange. One or more of the modules of the exchangecomputer system 100 may be configured to determine settlement prices forconstituent contracts, such as deferred month contracts, of spreadinstruments, such as for example, settlement module 120. A settlementmodule 120 (or settlement processor or other payment processor) may beincluded to provide one or more functions related to settling orotherwise administering transactions cleared by the exchange. Settlementmodule 120 of the exchange computer system 100 may implement one or moresettlement price determination techniques. Settlement-related functionsneed not be limited to actions or events occurring at the end of acontract term. For instance, in some embodiments, settlement-relatedfunctions may include or involve daily or other mark to marketsettlements for margining purposes. In some cases, the settlement module120 may be configured to communicate with the trade database 108 (or thememory(ies) on which the trade database 108 is stored) and/or todetermine a payment amount based on a spot price, the price of thefutures contract or other financial instrument, or other price data, atvarious times. The determination may be made at one or more points intime during the term of the financial instrument in connection with amargining mechanism. For example, the settlement module 120 may be usedto determine a mark to market amount on a daily basis during the term ofthe financial instrument. Such determinations may also be made on asettlement date for the financial instrument for the purposes of finalsettlement.

In some embodiments, the settlement module 120 may be integrated to anydesired extent with one or more of the other modules or processors ofthe exchange computer system 100. For example, the settlement module 120and the risk management module 114 may be integrated to any desiredextent. In some cases, one or more margining procedures or other aspectsof the margining mechanism(s) may be implemented by the settlementmodule 120.

One or more of the above-described modules of the exchange computersystem 100 may be used to gather or obtain data to support thesettlement price determination, as well as a subsequent marginrequirement determination. For example, the order book module 110 and/orthe market data module 112 may be used to receive, access, or otherwiseobtain market data, such as bid-offer values of orders currently on theorder books. The trade database 108 may be used to receive, access, orotherwise obtain trade data indicative of the prices and volumes oftrades that were recently executed in a number of markets. In somecases, transaction data (and/or bid/ask data) may be gathered orobtained from open outcry pits and/or other sources and incorporatedinto the trade and market data from the electronic trading system(s).

It should be appreciated that concurrent processing limits may bedefined by or imposed separately or in combination on one or more of thetrading system components, including the user database 102, the accountdata module 104, the match engine module 106, the trade database 108,the order book module 110, the market data module 112, the riskmanagement module 114, the message management module 116, the orderprocessing module 118, the settlement module 120, or other component ofthe exchange computer system 100.

The disclosed mechanisms may be implemented at any logical and/orphysical point(s), or combinations thereof, at which the relevantinformation/data (e.g., message traffic and responses thereto) may bemonitored or flows or is otherwise accessible or measurable, includingone or more gateway devices, modems, the computers or terminals of oneor more market participants, e.g., client computers, etc.

One skilled in the art will appreciate that one or more modulesdescribed herein may be implemented using, among other things, atangible computer-readable medium comprising computer-executableinstructions (e.g., executable software code). Alternatively, modulesmay be implemented as software code, firmware code, specificallyconfigured hardware or processors, and/or a combination of theaforementioned. For example, the modules may be embodied as part of anexchange 100 for financial instruments. It should be appreciated thedisclosed embodiments may be implemented as a different or separatemodule of the exchange computer system 100, or a separate computersystem coupled with the exchange computer system 100 so as to haveaccess to margin account record, pricing, and/or other data. Asdescribed herein, the disclosed embodiments may be implemented as acentrally accessible system or as a distributed system, e.g., where someof the disclosed functions are performed by the computer systems of themarket participants.

The trading network environment shown in FIG. 1 includes exemplarycomputer devices 150, 152, 154, 156 and 158 which depict differentexemplary methods or media by which a computer device may be coupledwith the exchange computer system 100 or by which a user maycommunicate, e.g., send and receive, trade or other informationtherewith. It should be appreciated that the types of computer devicesdeployed by traders and the methods and media by which they communicatewith the exchange computer system 100 is implementation dependent andmay vary and that not all of the depicted computer devices and/ormeans/media of communication may be used and that other computer devicesand/or means/media of communications, now available or later developedmay be used. Each computer device, which may comprise a computer 200described in more detail with respect to FIG. 2, may include a centralprocessor, specifically configured or otherwise, that controls theoverall operation of the computer and a system bus that connects thecentral processor to one or more conventional components, such as anetwork card or modem. Each computer device may also include a varietyof interface units and drives for reading and writing data or files andcommunicating with other computer devices and with the exchange computersystem 100. Depending on the type of computer device, a user caninteract with the computer with a keyboard, pointing device, microphone,pen device or other input device now available or later developed.

An exemplary computer device 150 is shown directly connected to exchangecomputer system 100, such as via a Ti line, a common local area network(LAN) or other wired and/or wireless medium for connecting computerdevices, such as the network 220 shown in FIG. 2 and described withrespect thereto. The exemplary computer device 150 is further shownconnected to a radio 168. The user of radio 168, which may include acellular telephone, smart phone, or other wireless proprietary and/ornon-proprietary device, may be a trader or exchange employee. The radiouser may transmit orders or other information to the exemplary computerdevice 150 or a user thereof. The user of the exemplary computer device150, or the exemplary computer device 150 alone and/or autonomously, maythen transmit the trade or other information to the exchange computersystem 100.

Exemplary computer devices 152 and 154 are coupled with a local areanetwork (“LAN”) 160 which may be configured in one or more of thewell-known LAN topologies, e.g., star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer devices 152 and 154 may communicate with each otherand with other computer and other devices which are coupled with the LAN160. Computer and other devices may be coupled with the LAN 160 viatwisted pair wires, coaxial cable, fiber optics or other wired orwireless media. As shown in FIG. 1, an exemplary wireless personaldigital assistant device (“PDA”) 158, such as a mobile telephone, tabletbased compute device, or other wireless device, may communicate with theLAN 160 and/or the Internet 162 via radio waves, such as via WiFi,Bluetooth and/or a cellular telephone based data communicationsprotocol. PDA 158 may also communicate with exchange computer system 100via a wireless hub 164.

FIG. 1 also shows the LAN 160 coupled with a wide area network (“WAN”)162 which may be comprised of one or more public or private wired orwireless networks. In one embodiment, the WAN 162 includes the Internet162. The LAN 160 may include a router to connect LAN 160 to the Internet162. Exemplary computer device 156 is shown coupled directly to theInternet 162, such as via a modem, DSL line, satellite dish or any otherdevice for connecting a computer device to the Internet 162 via aservice provider therefore as is known. LAN 160 and/or WAN 162 may bethe same as the network 220 shown in FIG. 2 and described with respectthereto.

Users of the exchange computer system 100 may include one or more marketmakers 166 which may maintain a market by providing constant bid andoffer prices for a derivative or security to the exchange computersystem 100, such as via one of the exemplary computer devices depicted.The exchange computer system 100 may also exchange information withother match or trade engines, such as trade engine 170. One skilled inthe art will appreciate that numerous additional computers and systemsmay be coupled to exchange computer system 100. Such computers andsystems may include clearing, regulatory and fee systems.

The operations of computer devices and systems shown in FIG. 1 may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer device 152 may store computer-executable instructions forreceiving order information from a user, transmitting that orderinformation to exchange computer system 100 in electronic messages,extracting the order information from the electronic messages, executingactions relating to the messages, and/or calculating values fromcharacteristics of the extracted order to facilitate matching orders andexecuting trades. In another example, the exemplary computer device 154may include computer-executable instructions for receiving market datafrom exchange computer system 100 and displaying that information to auser.

Numerous additional servers, computers, handheld devices, personaldigital assistants, telephones and other devices may also be connectedto exchange computer system 100. Moreover, one skilled in the art willappreciate that the topology shown in FIG. 1 is merely an example andthat the components shown in FIG. 1 may include other components notshown and be connected by numerous alternative topologies.

Referring now to FIG. 2, an illustrative embodiment of a computer system200 is shown, which may be embodied in the exchange computer system 100.The computer system 200 can include a set of instructions that can beexecuted to cause the computer system 200 to perform any one or more ofthe methods or computer based functions disclosed herein. The computersystem 200 may operate as a standalone device or may be connected, e.g.,using a network, to other computer systems or peripheral devices. Any ofthe components discussed herein, such as the processor 202, may be acomputer system 200 or a component in the computer system 200. Thecomputer system 200 may be specifically configured to implement a matchengine, margin processing, payment or clearing function on behalf of anexchange, such as the Chicago Mercantile Exchange, of which thedisclosed embodiments are a component thereof.

In a networked deployment, the computer system 200 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, or as a peer computer system in a peer-to-peer(or distributed) network environment. The computer system 200 can alsobe implemented as or incorporated into various devices, such as apersonal computer (PC), a tablet PC, a set-top box (STB), a personaldigital assistant (PDA), a mobile device, a palmtop computer, a laptopcomputer, a desktop computer, a communications device, a wirelesstelephone, a land-line telephone, a control system, a camera, a scanner,a facsimile machine, a printer, a pager, a personal trusted device, aweb appliance, a network router, switch or bridge, or any other machinecapable of executing a set of instructions (sequential or otherwise)that specify actions to be taken by that machine. In a particularembodiment, the computer system 200 can be implemented using electronicdevices that provide voice, video or data communication. Further, whilea single computer system 200 is illustrated, the term “system” shallalso be taken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 2, the computer system 200 may include aprocessor 202, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 202 may be a component ina variety of systems. For example, the processor 202 may be part of astandard personal computer or a workstation. The processor 202 may beone or more general processors, digital signal processors, specificallyconfigured processors, application specific integrated circuits, fieldprogrammable gate arrays, servers, networks, digital circuits, analogcircuits, combinations thereof, or other now known or later developeddevices for analyzing and processing data. The processor 202 mayimplement a software program, such as code generated manually (i.e.,programmed).

The computer system 200 may include a memory 204 that can communicatevia a bus 208. The memory 204 may be a main memory, a static memory, ora dynamic memory. The memory 204 may include, but is not limited to,computer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, magnetic tape or disk, optical media and the like. In oneembodiment, the memory 204 includes a cache or random access memory forthe processor 202. In alternative embodiments, the memory 204 isseparate from the processor 202, such as a cache memory of a processor,the system memory, or other memory. The memory 204 may be an externalstorage device or database for storing data. Examples include a harddrive, compact disc (“CD”), digital video disc (“DVD”), memory card,memory stick, floppy disc, universal serial bus (“USB”) memory device,or any other device operative to store data. The memory 204 is operableto store instructions executable by the processor 202. The functions,acts or tasks illustrated in the figures or described herein may beperformed by the programmed processor 202 executing the instructions 212stored in the memory 204. The functions, acts or tasks are independentof the particular type of instructions set, storage media, processor orprocessing strategy and may be performed by software, hardware,integrated circuits, firm-ware, micro-code and the like, operating aloneor in combination. Likewise, processing strategies may includemultiprocessing, multitasking, parallel processing and the like.

As shown, the computer system 200 may further include a display unit214, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 214may act as an interface for the user to see the functioning of theprocessor 202, or specifically as an interface with the software storedin the memory 204 or in the drive unit 206.

Additionally, the computer system 200 may include an input device 216configured to allow a user to interact with any of the components ofsystem 200. The input device 216 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control or any other device operative to interact withthe system 200.

In a particular embodiment, as depicted in FIG. 2, the computer system200 may also include a disk or optical drive unit 206. The disk driveunit 206 may include a computer-readable medium 210 in which one or moresets of instructions 212, e.g., software, can be embedded. Further, theinstructions 212 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 212 mayreside completely, or at least partially, within the memory 204 and/orwithin the processor 202 during execution by the computer system 200.The memory 204 and the processor 202 also may include computer-readablemedia as discussed herein.

The present disclosure contemplates a computer-readable medium thatincludes instructions 212 or receives and executes instructions 212responsive to a propagated signal, so that a device connected to anetwork 220 can communicate voice, video, audio, images or any otherdata over the network 220. Further, the instructions 212 may betransmitted or received over the network 220 via a communicationinterface 218. The communication interface 218 may be a part of theprocessor 202 or may be a separate component. The communicationinterface 218 may be created in software or may be a physical connectionin hardware. The communication interface 218 is configured to connectwith a network 220, external media, the display 214, or any othercomponents in system 200, or combinations thereof. The connection withthe network 220 may be a physical connection, such as a wired Ethernetconnection or may be established wirelessly. Likewise, the additionalconnections with other components of the system 200 may be physicalconnections or may be established wirelessly. The communicationinterface 218 may be configured to receive an electronic messageincluding actionable object data and textual object data from a messagesource device. The actionable object data includes one or moreparameters actionable by at least one data processing transaction device(e.g., exchange device) to perform one or more data processingtransactions external to the network device and the textual object dataincluding one or more descriptors of the one or more parametersactionable by the at least one data processing transaction device. Thetextual object data is operable by both devices incompatible andcompatible with the actionable object data.

The processor 208 may be configured to calculate an execution commandfor the data processing transaction in response to the actionable objectdata. The execution command is based on at least the one or moreparameters of the actionable object data. The processor 208 may beconfigured to generate a data transaction request message including theexecution command to the at least one data processing transactiondevice. The processor 208 may be configured to generate data for displayon display 218 based on the textual object data including the one ormore descriptors of the one or more parameters actionable by the dataprocessing transaction device to a display device other than the atleast one data processing transaction device.

The network 220 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 220 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to, TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated or otherwise specificallyconfigured hardware implementations, such as application specificintegrated circuits, programmable logic arrays and other hardwaredevices, can be constructed to implement one or more of the methodsdescribed herein. Applications that may include the apparatus andsystems of various embodiments can broadly include a variety ofelectronic and computer systems. One or more embodiments describedherein may implement functions using two or more specific interconnectedhardware modules or devices with related control and data signals thatcan be communicated between and through the modules, or as portions ofan application-specific integrated circuit. Accordingly, the presentsystem encompasses software, firmware, and hardware implementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by software programsexecutable by a computer system. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located at one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose microprocessors, andanyone or more processors of any kind of digital computer. Generally, aprocessor will receive instructions and data from a read only memory ora random access memory or both. The essential elements of a computer area processor for performing instructions and one or more memory devicesfor storing instructions and data. Generally, a computer will alsoinclude, or be operatively coupled to receive data from or transfer datato, or both, one or more mass storage devices for storing data, e.g.,magnetic, magneto optical disks, or optical disks. However, a computerneed not have such devices. Moreover, a computer can be embedded inanother device, e.g., a mobile telephone, a personal digital assistant(PDA), a mobile audio player, a Global Positioning System (GPS)receiver, to name just a few. Computer readable media suitable forstoring computer program instructions and data include all forms ofnon-volatile memory, media and memory devices, including by way ofexample semiconductor memory devices, e.g., EPROM, EEPROM, and flashmemory devices; magnetic disks, e.g., internal hard disks or removabledisks; magneto optical disks; and CD ROM and DVD-ROM disks. Theprocessor and the memory can be supplemented by, or incorporated in,special purpose logic circuitry.

As used herein, the terms “microprocessor” or “general-purposeprocessor” (“GPP”) may refer to a hardware device that fetchesinstructions and data from a memory or storage device and executes thoseinstructions (for example, an Intel Xeon processor or an AMD Opteronprocessor) to then, for example, process the data in accordancetherewith. The term “reconfigurable logic” may refer to any logictechnology whose form and function can be significantly altered (i.e.,reconfigured) in the field post-manufacture as opposed to amicroprocessor, whose function can change post-manufacture, e.g. viacomputer executable software code, but whose form, e.g. thearrangement/layout and interconnection of logical structures, is fixedat manufacture. The term “software” may refer to data processingfunctionality that is deployed on a GPP. The term “firmware” may referto data processing functionality that is deployed on reconfigurablelogic. One example of a reconfigurable logic is a field programmablegate array (“FPGA”) which is a reconfigurable integrated circuit. AnFPGA may contain programmable logic components called “logic blocks”,and a hierarchy of reconfigurable interconnects that allow the blocks tobe “wired together”, somewhat like many (changeable) logic gates thatcan be inter-wired in (many) different configurations. Logic blocks maybe configured to perform complex combinatorial functions, or merelysimple logic gates like AND, OR, NOT and XOR. An FPGA may furtherinclude memory elements, which may be simple flip-flops or more completeblocks of memory.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for interaction with a user as well. Feedback provided to theuser can be any form of sensory feedback, e.g., visual feedback,auditory feedback, or tactile feedback. Input from the user can bereceived in any form, including acoustic, speech, or tactile input.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., a data server, or that includes a middleware component, e.g., anapplication server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a local area network (“LAN”) and a widearea network (“WAN”), e.g., the Internet.

The computing system can include clients and servers. A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other.

FIG. 3 illustrates a communication system to implement aspects of thedisclosed embodiments. The computer system of FIG. 2, which may be amessaging device 200, is coupled with the communication system forcommunication with a network device 201 and an intermediary device 203.The messaging device 200 may be directly coupled with the network device201 and indirectly coupled with the intermediary device 203 by way ofthe network device 201. One or more endpoint device 205 are also coupledwith the communication system for communication with the network device201 and the intermediary device 203. Additional, different or fewercomponents may be included.

The network device 201 may be the exchange computer system 100 includinga processor (e.g., processor 202) for analyzing and forwarding datapackets. The network device 201, using processor 202, is configured toreceive, through the network, data packets forming an electronicmessage. The electronic message may be encoded in one or more of thedata packets. The network device 201 may identify the recipients of theelectronic message and modify the electronic message according to therecipients.

The messaging device 200 and/or endpoint device 205 may be a user deviceincluding one or more displays and user input devices for entering usercommands. For example, computer devices 150, 152, 154, 156 and 158 maybe used for the messaging device 200 and/or endpoint device 205.

The messaging device 200 may generate an electronic message including anactionable portion (e.g., action object 213) including actionable objectdata and a textual portion (e.g., text object 211). The messaging device200 may provide a messaging interface to the user. The messaginginterface may include a textual input portion where the user enters textto form the textual portion included in the text object 211. Themessaging interface may include an actionable object portion forgenerating the action object 213. The messaging device 200 may insert anidentification in the instant message (e.g., in the header) thatidentifies the messaging device 200 and the origin or sender of theinstant message.

The text object 211 may have a dependent relationship with the actionobject 213 or the text object 211 may have an independent relationshipwith the action object 213. The independent relationship means that thetext object 211 is not dependent on the contents of the action object213 (e.g., the text object 211 is entirely text entered by the user).The contents of the independent message may be any alphanumericcharacters entered by the user, which may be referred to as freeformtext or freeform words. The dependent relationship means that the textobject 211 includes text based on the contents of the action object 213(e.g., one or more parameters of the action object 213 are described inthe text object 211). The text object 211 may include text for allparameters of the action object 213. The textual object data of the textobject 211 may include one or more descriptors of the one or moreparameters actionable by the at least one data processing transactiondevice. The text object 211 is operable by devices incompatible with theactionable object data.

In one example, the actionable object portion includes one or more userinput mechanisms for defining parameters of the action object 213. Theuser input mechanisms may include a slide, drop down menu, or inputfield. The parameters may include a quantity parameter, a priceparameter, an instrument name parameter, a strategy parameter, a timingparameter, an allocation parameter, or another parameter. The quantityparameter may define a quantity of an order for the action object 213.The price parameter may define a price of an order for the action object213. The actionable object data in the action object 213 includes one ormore parameters actionable by at least one data processing transactiondevice to perform one or more data processing transactions external tothe network device 201. The time parameter may define a time range forfilling an order for the action object 213. The allocation parameter maydefine an allocation algorithm for an order for the action object 213.Example allocation algorithms are described herein and include first-infirst-out algorithm, a pro-rata algorithm, or a combination thereof.

The instrument name parameter may define the name of a financialinstrument for the order for the action object 213. The instrument namemay specify a type of instrument (e.g., options, futures, stocks, bonds,or another instrument). The strategy parameter may define a strategy ofan order for the action object 213. The strategy is a combinationcontract and may be made of multiple orders for outright contracts whereeach order for an outright contract forms a “leg” of the strategy, alsoreferred to as a leg order. The definition of the combination contractfurther specifies whether buying a unit quantity of the strategy, i.e.the combination contract, requires a given leg to be bought or sold andin what quantity. Example strategies include spreads such as bearspreads, bull spreads, butterfly spreads, calendar spreads and userdefined spreads. A bear spread is a vertical spread involving the saleof the lower strike call and the purchase of the higher strike call,called a bear call spread. Also, a vertical spread involving the sale ofthe lower strike put and the purchase of the higher strike put, called abear put spread. A bull spread is a vertical spread involving thepurchase of the lower strike call and the sale of the higher strikecall, called a bull call spread. Also, a vertical spread involving thepurchase of the lower strike put and the sale of the higher strike put,called a bull put spread. Butterfly spreads can be futures or optionsspreads. As an option spread, a butterfly spread is a strategy combininga bull and bear spread and uses three strike prices.

The network device 201 may analyze the electronic message to determinewhether the electronic message includes the action object 213, the textobject 211, or both the action object 213 and the text object 211. Theelectronic message may include a header a schema identifier that definesthe contents of the electronic message. The schema identifier mayinclude a flag for action object 213 and a flag for the text object 211.The network device 201 may extract any flags included in the electronicmessage and determine the existence of the action object 213 and/or thetext object 211.

The network device 201 may generate and store a capabilities matrix todefine the capabilities of the endpoint devices 205. Some endpointdevices 205 are configured to perform the actions described by theaction object 213. Some endpoint devices 205 are configured to translatethe action object 213 to an icon or other displayed illustration. Someendpoint devices 205 are configured to display the text object 211 andonly pass through the action object 213. The capabilities matrix mayassociate each of these categories of capabilities with each of endpointdevices 205. For example, the capabilities matrix may include a dataelement for a pairwise combination of each one of the endpoint devices205 and each of the categories of capabilities.

In response to receiving the electronic message, the network device 201may access the capabilities matrix based on the electronic message. Inone example, the network device 201 reads a recipient identifier fromthe electronic message that corresponds to one of the endpoint devices205. The network device 201 applies the recipient identifier from theelectronic message to the capabilities matrix to select the capabilitiesof the corresponding endpoint device 205. Depending on whether thecapabilities matrix indicates that an endpoint device is compatible withthe action object 213, compatible with the text object 211 or both theaction object 213 and the text object 211, the network device 201 maysend the corresponding data to the endpoint device 205.

The network device 201 may execute the action object 213. The networkdevice 201 may calculate an execution command for the data processingtransaction in response to the actionable object data. The executioncommand may be based on at least one or more parameters of theactionable object data. The execution command may cause a transaction tobe performed by the network device 201. The execute command may causethe network device 201 to send a data transaction request messageincluding the execution command to the at least one data processingtransaction device (e.g., endpoint device 205).

For example, in response to receiving the electronic message, thenetwork device 201 may forward the electronic message to all of theconnected endpoint devices 205. In this case, the network device 201 mayalso access the capabilities matrix based on the electronic message todetermine the capabilities of each of the connected endpoint devices205. Depending on whether the capabilities matrix indicates that anendpoint device is compatible with the action object 213, compatiblewith the text object 211 or both the action object 213 and the textobject 211, the network device 201 may send the corresponding data tothe endpoint device 205. The action object 213 may be executed by theendpoint device 205.

The action object 213 may instruct the endpoint device to perform atransaction in response to the electronic message. The transaction mayinclude placing an order for an instrument, filling an order for afinancial instrument, or requesting a quote for an instrument. Theaction object 213 may include instructions or code for an algorithm thatperforms the transaction at the endpoint device 205 or an exchangedevice. For example, the transaction may include sending a command toanother exchange device in response to the action object 213.

In one alternative, the action object 213 may be replaced by asemi-actionable object. The semi-actionable object does not includeinstructions for any transactions at the endpoint device or the exchangedevice. Rather, the semi-actionable object instructs the endpoint deviceto identify a type of financial instrument or strategy comprisingmultiple types of financial instruments. The semi-actionable may includestructured text that defines the parameters of the financial instrumentor strategy including multiple financial instruments. In response to thesemi-actionable object, the endpoint device may display the text object211 as well as prompt the user of the endpoint device for input inresponse to the semi-actionable object.

The network device 201 may display the text object 211. For example, thenetwork device 201 may send data for display based on the textual objectdata including the one or more descriptors of the one or more parametersactionable by the data processing transaction device to a display deviceother than the at least one data processing transaction device. The textobject 211 may be displayed or forwarded by the endpoint device 205. Thetext object 211 may include a textual description of the transactionperformed in response to the action object 213. The text object 211 maybe in a standard formation such as American Standard Code forInformation Interchange (ASCII), ANSI formation, or plain text.

The network device 201 may extract the identification code from theelectronic message that is indicative of the messaging device 200. Thenetwork device 201 may display the identity of the messaging device 200in response to the identification code. The network device 201 maydetermine whether or not to execute the action object 213 based on theidentification code. The network device 201 may determine whether or notto display the text object 211 based on the identification code. Thenetwork device 201 may determine where to forward the instant messagebased on the identification code. For example, the network device 201may select the data processing transaction device, or endpoint device205, in response to the identification code. In any of these examples,the network device 201 may compare the identification code to a list ora lookup table to determine how to handle the instant message.

In one implementation, the identification code for the messaging device200 is based on an address (e.g., IP address) of the messaging device200. The network device 201 may generate a receipt message oracknowledgment message in response to the electronic message and theidentification code. The network device 201 may send the receipt messageto the messaging device 200 device based on the identification code. Thereceipt message may include data indicative of the at least one dataprocessing transaction device, or endpoint 205, in response to theelectronic message being sent to the at least one data processingtransaction device, or endpoint 205. The receipt message includes dataindicative of the at least one display device in response to theelectronic message being sent to the display device.

The intermediary device 203 may be an external device for implementingsecurity or performing a certification between the communication systemand an external system. To implement security, the intermediary device203 may perform a certification process on the electronic message. Thecertification may verify that the sender of the electronic message.

To implement certification, the intermediary device 203 may compare thesender of the electronic message to a list of certified devices. Thesender may be represented by IP address and the list of certifieddevices may be a list of IP addresses. The sender may be represented bydomain name and the list of certified devices may be a list of domainnames. The sender may be represented by username and the list ofcertified devices may be a list of user names. The sender may berepresented by a trader identification number and the list of certifieddevices may be a list of a trader identification numbers.

To implement security, the intermediary device 203 may test theelectronic message for malicious data. In the action object 213, themalicious data may be a virus, a malicious code, or malware. In the textobject 211, the electronic message may include a link to the maliciousdata.

It should be appreciated that the disclosed embodiments may beapplicable to other types of messages depending upon the implementation.Further, the messages may comprise one or more data packets, datagramsor other collection of data formatted, arranged configured and/orpackaged in a particular one or more protocols, e.g., the FIX protocol,TCP/IP, Ethernet, etc., suitable for transmission via a network 214 aswas described, such as the message format and/or protocols described inU.S. Pat. No. 7,831,491 and U.S. Patent Publication No. 2005/0096999 A1,both of which are incorporated by reference herein in their entiretiesand relied upon. Further, the disclosed message management system may beimplemented using an open message standard implementation, such as FIX,FIX Binary, FIX/FAST, or by an exchange-provided API.

The embodiments described herein utilize trade related electronicmessages or instant messages that may include mass quote messages,individual order messages, modification messages, cancellation messages,etc., so as to enact trading activity in an electronic market. Thetrading entity and/or market participant may have one or multipletrading terminals associated with the session. Furthermore, thefinancial instruments may be financial derivative products. Derivativeproducts may include futures contracts, options on futures contracts,futures contracts that are functions of or related to other futurescontracts, swaps, swaptions, or other financial instruments that havetheir price related to or derived from an underlying product, security,commodity, equity, index, or interest rate product. In one embodiment,the orders are for options contracts that belong to a common optionclass. Orders may also be for baskets, quadrants, other combinations offinancial instruments, etc. The option contracts may have a plurality ofstrike prices and/or comprise put and call contracts. A mass quotemessage may be received at an exchange. As used herein, an exchangecomputing system 100 includes a place or system that receives and/orexecutes orders.

In an embodiment, a plurality of electronic messages is received fromthe network. The plurality of electronic messages may be received at anetwork interface for the electronic trading system. The plurality ofelectronic messages may be sent from market participants. The pluralityof messages may include order characteristics and be associated withactions to be executed with respect to an order that may be extractedfrom the order characteristics. The action may involve any action asassociated with transacting the order in an electronic trading system.The actions may involve placing the orders within a particular marketand/or order book of a market in the electronic trading system.

In an embodiment, the market may operate using characteristics thatinvolve collecting orders over a period of time, such as a batch auctionmarket. In such an embodiment, the period of time may be considered anorder accumulation period. The period of time may involve a beginningtime and an ending time, with orders placed in the market after thebeginning time, and the placed order matched at or after the endingtime. As such, the action associated with an order extracted from amessage may involve placing the order in the market within the period oftime. Also, electronic messages may be received prior to or after thebeginning time of the period of time.

The electronic messages may also include other data relating to theorder. In an embodiment, the other data may be data indicating aparticular time in which the action is to be executed. As such, theorder may be considered a temporally specific order. The particular timein which an action is undertaken may be established with respect to anymeasure of absolute or relative time. In an embodiment, the time inwhich an action is undertaken may be established with reference to thebeginning time of the time period or ending time of the time period in abatch auction embodiment. For example, the particular time may be aspecific amount of time, such as 10 milliseconds, prior to the endingtime of an order accumulation period in the batch auction. Further, theorder accumulation period may involve dissecting the accumulation periodinto multiple consecutive, overlapping, or otherwise divided,sub-periods of time. For example, the sub-periods may involve distincttemporal windows within the order accumulation period. As such, theparticular time may be an indicator of a particular temporal windowduring the accumulation period. For example, the particular time may bespecified as the last temporal window prior to the ending time of theaccumulation period.

In an embodiment, the electronic message may also include other actionsto be taken with respect to the order. These other actions may beactions to be executed after the initial or primary action associatedwith the order. For example, the actions may involve modifying orcanceling an already placed order. Further, in an embodiment, the otherdata may indicate order modification characteristics. For example, theother data may include a price or volume change in an order. The otheractions may involve modifying the already placed order to align with theorder modification characteristics, such as changing the price or volumeof the already placed order.

In an embodiment, other actions may be dependent actions. For example,the execution of the actions may involve a detection of an occurrence ofan event. Such triggering events may be described as other data in theelectronic message. For example, the triggering event may be a releaseof an economic statistic from an organization relating to a productbeing bought or sold in the electronic market, a receipt of pricinginformation from a correlated electronic market, a detection of a changein market sentiment derived from identification of keywords in socialmedia or public statements of officials related to a product beingbought or sold in the electronic market, and/or any other event orcombination of events which may be detected by an electronic tradingsystem.

In an embodiment, the action, or a primary action, associated with anorder may be executed. For example, an order extracted from electronicmessage order characteristics may be placed into a market, or anelectronic order book for a market, such that the order may be matchedwith other orders counter thereto.

In an embodiment involving a market operating using batch auctionprinciples, the action, such as placing the order, may be executedsubsequent to the beginning time of the order accumulation period, butprior to the ending time of the order accumulation period. Further, asindicated above, a message may also include other information for theorder, such as a particular time the action is to be executed. In suchan embodiment, the action may be executed at the particular time. Forexample, in an embodiment involving a batch auction process havingsub-periods during an order accumulation period, an order may be placedduring a specified sub-period of the order accumulation period. Thedisclosed embodiments may be applicable to batch auction processing, aswell as continuous processing.

Also, it may be noted that messages may be received prior or subsequentto the beginning time of an order accumulation period. Orders extractedfrom messages received prior to the beginning time may have theassociated actions, or primary actions such as placing the order,executed at any time subsequent to the beginning time, but prior to theending time, of the order accumulation period when no particular timefor the execution is indicated in the electronic message. In anembodiment, messages received prior to the beginning time but not havinga particular time specified will have the associated action executed assoon as possible after the beginning time. Because of this, specifying atime for order action execution may allow a distribution and moredefinite relative time of order placement so as to allow resources ofthe electronic trading system to operate more efficiently.

In an embodiment, the execution of temporally specific messages may becontrolled by the electronic trading system such that a limited ormaximum number may be executed in any particular accumulation period, orsub-period. In an embodiment, the order accumulation time periodinvolves a plurality of sub-periods involving distinct temporal windows,a particular time indicated by a message may be indicative of aparticular temporal window of the plurality of temporal windows, and theexecution of the at least one temporally specific message is limited tothe execution of a specified sub-period maximum number of temporallyspecific messages during a particular sub-period. The electronic tradingsystem may distribute the ability to submit temporally specific messageto selected market participants. For example, only five temporallyspecific messages may be allowed in any one particular period orsub-period. Further, the ability to submit temporally specific messageswithin particular periods or sub-periods may be distributed based on anytechnique. For example, the temporally specific messages for aparticular sub-period may be auctioned off or otherwise sold by theelectronic trading system to market participants. Also, the electronictrading system may distribute the temporally specific messages topreferred market participants, or as an incentive to participate in aparticular market.

In an embodiment, an event occurrence may be detected. The eventoccurrence may be the occurrence of an event that was specified as otherinformation relating to an order extracted from an electronic message.The event may be a triggering event for a modification or cancellationaction associated with an order. The event may be detected subsequent tothe execution of the first action when an electronic message furthercomprises the data representative of the event and a secondary actionassociated with the order. In an embodiment involving a market operatingon batch auction principles, the event may be detected subsequent to theexecution of a first action, placing an order, but prior to the endingtime of an order accumulation period in which the action was executed.

In an embodiment, other actions associated with an order may beexecuted. The other actions may be any action associated with an order.For example, the action may be a conditional action that is executed inresponse to a detection of an occurrence of an event. Further, in amarket operating using batch auction principles, the conditional actionmay be executed after the placement of an order during an orderaccumulation period, but in response to a detection of an occurrence ofan event prior to an ending time of the order accumulation period. Insuch an embodiment, the conditional action may be executed prior to theending time of the order accumulation period. For example, the placedorder may be canceled, or modified using other provided ordercharacteristics in the message, in response to the detection of theoccurrence of the event.

An event may be a release of an economic statistic or a fluctuation ofprices in a correlated market. An event may also be a perceptible changein market sentiment of a correlated market. A change may be perceptiblebased on a monitoring of orders or social media for keywords inreference to the market in question.

The other or secondary action may also be considered a modification of afirst action executed with respect to an order. For example, acancellation may be considered a cancellation of the placement of theorder. Further, a secondary action may have other data in the messagewhich indicates a specific time in which the secondary action may beexecuted. The specific time may be a time relative to a first action, orplacement of the order, or relative to an accumulation period in a batchauction market. For example, the specific time for execution of thesecondary action may be at a time specified relative and prior to theending period of the order accumulation period. Further, multiplesecondary actions may be provided for a single order. Also, with eachsecondary action a different triggering event may be provided.

In an embodiment, an incoming transaction may be received. The incomingtransaction may be from, and therefore associated with, a marketparticipant of an electronic market managed by an electronic tradingsystem. The transaction may involve an order as extracted from areceived message, and may have an associated action. The actions mayinvolve placing an order to buy or sell a financial product in theelectronic market, or modifying or deleting such an order. In anembodiment, the financial product may be based on an associatedfinancial instrument which the electronic market is established totrade.

In an embodiment, the action associated with the transaction isdetermined. For example, it may be determined whether the incomingtransaction comprises an order to buy or sell a quantity of theassociated financial instrument or an order to modify or cancel anexisting order in the electronic market. Orders to buy or sell andorders to modify or cancel may be acted upon differently by theelectronic market. For example, data indicative of differentcharacteristics of the types of orders may be stored.

In an embodiment, data relating to the received transaction is stored.The data may be stored in any device, or using any technique, operableto store and provide recovery of data. For example, a memory 204 orcomputer readable medium 210, may be used to store data, as is describedwith respect to FIG. 2 in further detail herein. Data may be storedrelating received transactions for a period of time, indefinitely, orfor a rolling most recent time period such that the stored data isindicative of the market participant's recent activity in the electronicmarket.

If and/or when a transaction is determined to be an order to modify orcancel a previously placed, or existing, order, data indicative of theseactions may be stored. For example, data indicative of a running countof a number or frequency of the receipt of modify or cancel orders fromthe market participant may be stored. A number may be a total number ofmodify or cancel orders received from the market participant, or anumber of modify or cancel orders received from the market participantover a specified time. A frequency may be a time based frequency, as ina number of cancel or modify orders per unit of time, or a number ofcancel or modify orders received from the market participant as apercentage of total transactions received from the participant, whichmay or may not be limited by a specified length of time.

If and/or when a transaction is determined to be an order to buy or sella financial product, or financial instrument, other indicative data maybe stored. For example, data indicative of quantity and associated priceof the order to buy or sell may be stored.

Data indicative of attempts to match incoming orders may also be stored.The data may be stored in any device, or using any technique, operableto store and provide recovery of data. For example, a memory 204 orcomputer readable medium 210, may be used to store data, as is describedwith respect to FIG. 2. The acts of the process as described herein mayalso be repeated. As such, data for multiple received transactions formultiple market participants may be stored and used as describe herein.

The order processing module 118 may also store data indicative ofcharacteristics of the extracted orders. For example, the orderprocessing module may store data indicative of orders having anassociated modify or cancel action, such as by recording a count of thenumber of such orders associated with particular market participants.The order processing module may also store data indicative of quantitiesand associated prices of orders to buy or sell a product placed in themarket order book 110, as associated with particular marketparticipants.

Also, the order processing module 118 may be configured to calculate andassociate with particular orders a value indicative of an associatedmarket participant's market activity quality, which is a valueindicative of whether the market participant's market activity increasesor tends to increase liquidity of a market. This value may be determinedbased on the price of the particular order, previously stored quantitiesof orders from the associated market participant, the previously storeddata indicative of previously received orders to modify or cancel asassociated with the market participant, and previously stored dataindicative of a result of the attempt to match previously receivedorders stored in association with the market participant. The orderprocessing module 118 may determine or otherwise calculate scoresindicative of the quality value based on these stored extracted ordercharacteristics, such as an MQI as described herein.

Further, electronic trading systems may perform actions on orders placedfrom received messages based on various characteristics of the messagesand/or market participants associated with the messages. These actionsmay include matching the orders either during a continuous auctionprocess, or at the conclusion of a collection period during a batchauction process. The matching of orders may be by any technique.

The matching of orders may occur based on a priority indicated by thecharacteristics of orders and market participants associated with theorders. Orders having a higher priority may be matched before orders ofa lower priority. Such priority may be determined using varioustechniques. For example, orders that were indicated by messages receivedearlier may receive a higher priority to match than orders that wereindicated by messages received later. Also, scoring or grading of thecharacteristics may provide for priority determination. Data indicativeof order matches may be stored by a match engine and/or an orderprocessing module 118, and used for determining MQI scores of marketparticipants.

FIG. 4 depicts an illustrative embodiment of a control sequence diagramto implement aspects of the disclosed embodiments. Each alternative box,Alt1, Alt2, Alt3, Alt4, includes alternative portions of the controlsequence diagram. The control sequence diagram may progress in numericalorder, for example, from Act 1 to Act 20. However, the control sequencemay follow another sequence shown by the alternative boxes. Alt1illustrates that instead of Acts 3-7 when the quote request is accepted,Acts 26 and 27 may be performed when the quote request is rejection.Alt2 illustrates that instead of Acts 8-11 when the order is accepted,Acts 20 and 21 may be performed when the order is rejected and/or Acts22-25 may be performed when the order is cancelled. Alt3 illustratesthat instead of Acts 12-17 when the fill is accepted, Acts 18 and 19 maybe performed when the fill is rejected. Additional, different, or feweracts may be performed.

The control sequence diagram illustrates communication between anexample messaging system 200 a such as a trader computer, a networkdevice 201 such as an exchange computer, a messaging system 200 b suchas a market maker computer, and an external device 204. The controlsequence diagram illustrates electronic messages having the text object211 and the action object 213.

At Act 1, the messaging system 200 a generates an electronic messageincluding a quote request and sends the electronic message to networkdevice 201. The electronic message includes a text object 211 thatdescribes at least one parameter of the quote request in text. In oneexample, the at least one parameter may be only the underlyinginstrument, which corresponds to a market quote. In another example, theat least one parameter may include a quantity and a type. Examples typesinclude quote request for a buy order, quote request for a sell order,quote request for a sell order, quote request for a short sell, quoterequest for a cross order in which the exchange is a party, and acollateral direction order. The text object 211 may include additionalinstant message text including any type of message from user to user.The instant message text may include freeform text which is any type ofalphanumeric characters entered by the user of the messaging system 200a. The instant message text may be forwarded across all of the Acts1-27. In one example, the action object 213 of the electronic message ismodified from one act to the next or one device to the next, while thetext object 211 carries the instant message text from act to act or userto user. In another example, different electronic message are generatedat the different acts described and the instant message text is carriedthrough between electronic messages.

The electronic message for the quote request includes an action object213 that includes an automated command or script for executing therequest for quote. The command or script may include the at least oneparameter. In some examples, the action object 213 may include one ormore commands or a script using FIXML. The network device 201 mayexecute the action object 213 to send the electronic message to themessaging device 200 b, which may be a market maker computer. At Act 2,the market maker computer may execute the action object 213 to fulfillor respond to the quote request.

At Act 3, the messaging device 200 b performs a valuation in order torespond to the quote request. The messaging device 200 b may access datafor the valuation from an external service.

At Act 4, the quote is returned from the messaging device 200 b to thenetwork device 201. The quote may be implemented by an electronicmessage including the text object 211 and the action object 213. Inaddition, to the at least one parameter of the quote request in text,the text object 211 may include text that indicates that the quoterequest has been fulfilled. At Act 5, the quote is returned from thenetwork device 201 to the messaging device 200 a. The communication maybe initiated through execution of the action object 213.

At Act 6, an electronic message including a new order is generated atthe messaging device 200 a in response to the electronic message for thequote. The electronic message is transmitted from the messaging device200 a to the network device 201. The order may include at least oneparameter such as underlying instrument, quantity, order type,allocation type, and a transaction time. The transaction time maydescribe when the order request was initiated/released by the trader ortrading system. The allocation type describes one or more allocationtechniques.

At Act 7, the electronic message is forwarded from the network device201 to the messaging device 200 b. The network device 201 may executethe action object 213, which causes the electronic message to beforwarded.

In Acts 8-9, the order is accepted. At Act 8, the messaging device 200 bgenerates an electronic message including an execution report foracceptance of the order. The messaging device 200 b may receive a userinput indicative of acceptance of the order. The action object 213 ofthe electronic message received from the network device 201, andoptionally the user input indicative of the acceptance of the order, maycause the generation for the execution report for the acceptance of theorder.

The execution report includes data to confirm the receipt of an order orchanges to the order, if applicable, data to relay order statusinformation, data to relay fill information on working orders, or reportpost-trade fees calculations associated with a trade. The electronicmessage is sent from the messaging device 200 b to the network device201.

At Act 9, the electronic message including the execution report is sentfrom the network device 201 to the messaging device 200 a. The networkdevice 201 may execute the action object 213 to forward the electronicmessage to the messaging device 200 a or generate another electronicmessage to send to the messaging device 200 a.

At Act 10, the electronic message including an execution report forfilling the order, which may be referred to as a fill report. The fillreport may be combined with the execution report of Acts 8 and 9. Theaction object 213 of the electronic message received from the networkdevice 201 may cause the generation for the fill report. At Act 11, theelectronic message including the fill report is sent from the networkdevice 201 to the messaging device 200 a. The network device 201 mayexecute the action object 213 to forward the electronic message to themessaging device 200 a or generate another electronic message to send tothe messaging device 200 a.

At Acts 12-17 the fill is accepted. At Act 12, the messaging device 200a may generate an electronic message, or modify the received electronicmessage from Act 11, that is an execution acknowledgment that the fillis accepted. The messaging device 200 a may receive a user inputindicative of acceptance of the fill. The action object 213 of theelectronic message received from the network device 201, and optionallythe user input indicative of the acceptance of the order, may cause thegeneration for the execution acknowledgment. The text object 211 mayinclude text that indicates that the fill is accepted.

At Act 13, the electronic message including the execution acknowledgmentis forwarded from the network device 201 to the messaging device 200 b.The network device 201 may execute the action object 213, which causesthe electronic message including the execution acknowledgment to beforwarded. When the electronic message including the executionacknowledgment is received at the messaging device 200 b, thetransaction is complete or the trade is done.

At Acts 14 and 15, the transaction is recorded by the messaging device.In Act 14, the messaging device 200 a may store in memory a record ofthe transaction. The messaging device 200 a may execute the actionobject 213 in Act 12 to initiate storing the terms in the text object211 in memory at the messaging device 200 a. In Act 15, the messagingdevice 200 b may store in memory a record of the transaction. Themessaging device 200 b may execute the action object 213 in Act 13 toinitiating storing the terms in the text object 211 in memory at themessaging device 200 b.

At Acts 16 and 17, an electronic message including a trade entry recordfor the transaction is sent to the external device 204. The externaldevice 204 may be a clearing house as described herein. The electronicmessage may include an action object 213 that instructs the externaldevice 204 to perform one or more clearing services such as settlementor margining. The electronic message may include a text object 211 thatincludes the parameters, parties, and timing of the transaction. At Act16, the messaging device 200 a may execute the action object 213 in Act12 to initiate the trade entry record and sending the trade entry recordto the external device 204. At Act 17, the messaging device 200 b mayexecute the action object 213 in Act 13 to initiate the trade entryrecord and sending the trade entry record to the external device 204.

Alternatively, in Acts 18 and 19, the fill is not accepted (rejected).At Act 18, the messaging device 200 a may generate an electronicmessage, or modify the received electronic message from Act 11, that isan execution acknowledgment that the fill is rejected. The messagingdevice 200 a may receive a user input indicative of rejection of thefill. The action object 213 of the electronic message received from thenetwork device 201, and optionally the user input indicative of therejection of the order, may cause the generation for the executionacknowledgment. The text object 211 may include text that indicates thatthe fill is rejected.

At Act 19, the electronic message including the execution acknowledgmentis forwarded from the network device 201 to the messaging device 200 b.The network device 201 may execute the action object 213, which causesthe electronic message including the execution acknowledgment to beforwarded.

As an alternative to Acts 8-11, in Acts 20 and 21, the order in theaction object 213 in the electronic message from Act 7 is accepted. AtAct 20, the messaging device 200 b generates an electronic messageincluding an execution report for rejection of the order. The messagingdevice 200 b may receive a user input indicative of rejection of theorder. The action object 213 of the electronic message received from thenetwork device 201, and optionally the user input indicative of therejection of the order, may cause the generation for the executionreport for the rejection of the order.

The execution report includes data to confirm the receipt of an order orchanges to the order, if applicable, data to relay order statusinformation, data to relay fill information on working orders, or reportpost-trade fees calculations associated with a trade. The electronicmessage is sent from the messaging device 200 b to the network device201.

At Act 21, the electronic message including the execution report is sentfrom the network device 201 to the messaging device 200 a. The networkdevice 201 may execute the action object 213 to forward the electronicmessage to the messaging device 200 a or generate another electronicmessage to send to the messaging device 200 a.

At Acts 22-25, in addition or alternative to the rejection of the order,the order may also be ended by a cancellation of the order. At Act 22,an electronic message including a cancellation of the new order isgenerated at the messaging device 200 a in response to a user inputindicative of cancelling the order at the messaging device 200 a. Theelectronic message is transmitted from the messaging device 200 a to thenetwork device 201. The order may include a text object 211 indicativeof cancellation of the order and an action object 213 executable tocause forwarding the electronic message when executed by the networkdevice 201 as well as cancellation of the order when executed by themessaging device 200 b.

At Act 23, the electronic message is forwarded from the network device201 to the messaging device 200 b. The network device 201 may executethe action object 213, which causes the electronic message to beforwarded. At Act 24, the messaging device 200 b executed the actionobject 213 cancel the order and generates an electronic messageincluding an execution report for cancellation of the order. At Act 25,the electronic message including the execution report is sent from thenetwork device 201 to the messaging device 200 a. The network device 201may execute the action object 213 to forward the electronic message tothe messaging device 200 a or generate another electronic message tosend to the messaging device 200 a.

As an alternative to Acts 4-7 when the quote request is accepted, Acts26 and 27 illustrate a scenario in which the quote request is notaccepted (rejected). At Act 26, an electronic message including a quoterequest rejection is returned from the messaging device 200 b to thenetwork device 201. The rejection may be implemented by an electronicmessage including the text object 211 and the action object 213. Thetext object 211 may include an identifier for the quote request and anindication of rejection. In addition to the at least one parameter ofthe quote request in text, the text object 211 may include text thatindicates that the quote request has been rejected. The action object213 may be executable by the network device 201 to forward theelectronic message, executable by the messaging device 200 a to mark thequote request as rejected. At Act 27, the electronic message includingthe quote rejection is returned from the network device 201 to themessaging device 200 a. The communication may be initiated throughexecution of the action object 213.

As an alternative to the action object 213, a structured component orembedded may be paired with the text object 211 to form the instantmessage. The structured component may be embedded in any time of messagedescribed above including a request for quote, a security definition, anexecution report, a trade capture report, or a new strategy. Thestructured component may be a script. The structured component mayinclude elements of a script language such as HTML. By embedding an HTMLelement within the chat message identifying the structure, and thensending the structured message as a separate independent or embeddedmessage, as well as a text object 211 description of the structure, itis possible to provide a chat message that can be used over both textonly and structured text enabled chat clients in order to represent thevarious phases of the negotiation. An example embedded message in HTMLmay include the following inserted into the chat message: <cmed-dataclass=“{class}”href=“cmed: {index}”data=“{data}”>{DisplayText}></cmed-data>. The attributes of the HTML may include class, href,data, and display text. The class attribute may be a value indicatingwhat kind of market data/even this structure represents, this would beone of the supported structured messages: RFQ, security definition,execution report, trade capture report, or new order multi-leg. The hrefattribute may be a cross reference indicating which associated FIXMLstructure is referenced. The data attribute is an optional data fieldidentifying the contract that is to be traded (e.g., a code utilized byexternal device 204 or a clearing house). The display text may definetext that is displayed in the text form of the message. By passing thischat message in a combination of formats, the message that arrives indifferent kinds of chat clients can then be used algorithmically toperform a variety of actions without there being any risk ofmisunderstanding between the different systems.

The messaging system 200 b may correspond to a market maker or a marketmaker computer. Generally, a market may involve market makers, such asmarket participants who consistently provide bids and/or offers atspecific prices in a manner typically conducive to balancing risk, andmarket takers who may be willing to execute transactions at prevailingbids or offers may be characterized by more aggressive actions so as tomaintain risk and/or exposure as a speculative investment strategy. Froman alternate perspective, a market maker may be considered a marketparticipant who places an order to sell at a price at which there is nopreviously or concurrently provided counter order. Similarly, a markettaker may be considered a market participant who places an order to buyat a price at which there is a previously or concurrently providedcounter order. A balanced and efficient market may involve both marketmakers and market takers, coexisting in a mutually beneficial basis. Themutual existence, when functioning properly, may facilitate liquidity inthe market such that a market may exist with “tight” bid-ask spreads(e.g., small difference between bid and ask prices) and a “deep” volumefrom many currently provided orders such that large quantity orders maybe executed without driving prices significantly higher or lower.

An exchange provides one or more markets for the purchase and sale ofvarious types of products including financial instruments such asstocks, bonds, futures contracts, options, currency, cash, and othersimilar instruments. Agricultural products and commodities are alsoexamples of products traded on such exchanges. A futures contract is aproduct that is a contract for the future delivery of another financialinstrument such as a quantity of grains, metals, oils, bonds, currency,or cash. Generally, each exchange establishes a specification for eachmarket provided thereby that defines at least the product traded in themarket, minimum quantities that must be traded, and minimum changes inprice (e.g., tick size). For some types of products (e.g., futures oroptions), the specification further defines a quantity of the underlyingproduct represented by one unit (or lot) of the product, and deliveryand expiration dates. As will be described, the exchange may furtherdefine the matching algorithm, or rules, by which incoming orders willbe matched/allocated to resting orders.

FIG. 5 depicts an illustrative embodiment of a communication window orversatile message user interface 300 for one or more of the devices inthe communication system of FIG. 3. The versatile message user interface300 may be displayed on the messaging device 200 or the endpoint device205. The user interface 300 includes multiple panes or portionsincluding a contact pane 302, a conversation pane 304, and a chat pane306. Additional, different, or fewer components may be included.

The contract pane 302 may include a list of contacts. The list ofcontacts may include a list of devices, usernames, or people that themessaging device 200 or the endpoint device 205 can exchange messagesusing the versatile message user interface 300. The list of contacts mayinclude devices previously in communication with the messaging device200 or the endpoint device 205. The list of contacts may include apersonal contact list established by the user on an organization. Thelist of contacts may include contacts authorized or registered toreceive the instant messages.

The conversation pane 304 may include a listing of active and/or pastconversations. Each entry in the list of active and/or pastconservations may include a participant entry, an organization entry,and a time entry. The participant entry may list the username, deviceidentifier, or other identifier for a user or device that participatedor is participating in the conversation. The organization entry may listan organization or credential for the user or the device thatparticipated or is participating in the conversation. The time entry maylist a timestamp or date stamp for the conversation. The time entry maylist the most recent communication in the conversation (e.g., time ofmost recent instant message). The time entry may list the number ofinstant messages that make up the conversation.

The chat pane 306 may include instant messages for a current chat. Thechat pane 306 may include a text display object 311 corresponding to thetext object 211 and an action display object 313 corresponding to theaction object 213. The action display object 313 may be include asummary of the object using one or more parameters such as type (e.g.,strangle option or STNGL), date (e.g., October 2017), and amounts (e.g.,2.6 Call and 3.9 Put), for a predetermined quantity or a specifiedquantity. The action display object 313 may be moved (e.g., drag anddrop) to other interfaces available to the messaging device 200 or theendpoint device 205. The action object 213 may be executed by themessaging device 200 or the endpoint device 205 to create the the actiondisplay object 313. The action object 213 may be executed by themessaging device 200 or the endpoint device 205 using anotherapplication to send the order or quote to another device. The actionobject 213 may be executed by the messaging device 200 or the endpointdevice 205 to execute the order or quote. The action object 213 maycreated using the chat pane 306 be added to the chat pane 306 fromanother application.

FIG. 6 depicts an illustrative embodiment of data object control in thecommunication window of FIG. 5. When the messaging device 200 or theendpoint device 205 displays the action display object 313, a user inputmay be received selecting the action display object 313 (e.g., click orright click). In response to the user input, the messaging device 200 orthe endpoint device 205 may display an action object menu 310. Theaction object menu 310 may include one or more action object executioncommands including create a new bid, create a new offer, simultaneouscreate new bid and offer, send request for quote, add a deal, copy thestrategy of the option object, or transfer to another application. Inresponse to a selection on the action object menu 310, the action object211 may be executed by an application selected from the action objectmenu 310. In response to a selection on the action object menu 310, theaction object 211 may be modified (e.g., adjust one or more parameters).In response to a selection on the action object menu 310, another actionobject may be created and/or executed.

FIG. 7 depicts an illustrative action object interface 400 for anembodiment of data object control in the communication window of FIG. 5.The action object interface 400 may be used to create the action object213. The action object interface 400 may receive one or more user inputsfor selecting a strategy, a quantity, a price, a timing, order type orother parameters for the action object 213. The action object interface400 may be accessed through opening the action object 213 (e.g.,selection of action display object 313). The action object 213 may bemodified using the action object interface 400.

Market participants, e.g., traders, use software to send orders ormessages to the trading platform. The order identifies the product, thequantity of the product the trader wishes to trade, a price at which thetrader wishes to trade the product, and a direction of the order (i.e.,whether the order is a bid, i.e., an offer to buy, or an ask, i.e., anoffer to sell). It will be appreciated that there may be other ordertypes or messages that traders can send including requests to modify orcancel a previously submitted order.

The exchange computer system monitors incoming orders received therebyand attempts to identify, i.e., match or allocate, as described herein,one or more previously received, but not yet matched, orders, i.e.,limit orders to buy or sell a given quantity at a given price, referredto as “resting” orders, stored in an order book database, wherein eachidentified order is contra to the incoming order and has a favorableprice relative to the incoming order. An incoming order may be an“aggressor” order, i.e., a market order to sell a given quantity atwhatever may be the current resting bid order price(s) or a market orderto buy a given quantity at whatever may be the current resting ask orderprice(s). An incoming order may be a “market making” order, i.e., amarket order to buy or sell at a price for which there are currently noresting orders. In particular, if the incoming order is a bid, i.e., anoffer to buy, then the identified order(s) will be an ask, i.e., anoffer to sell, at a price that is identical to or higher than the bidprice. Similarly, if the incoming order is an ask, i.e., an offer tosell, the identified order(s) will be a bid, i.e., an offer to buy, at aprice that is identical to or lower than the offer price.

An exchange computing system may receive conditional orders or messagesfor a data object, where the order may include two prices or values: areference value and a stop value. A conditional order may be configuredso that when a product represented by the data object trades at thereference price, the stop order is activated at the stop value. Forexample, if the exchange computing system's order management moduleincludes a stop order with a stop price of 5 and a limit price of 1 fora product, and a trade at 5 (i.e., the stop price of the stop order)occurs, then the exchange computing system attempts to trade at 1 (i.e.,the limit price of the stop order). In other words, a stop order is aconditional order to trade (or execute) at the limit price that istriggered (or elected) when a trade at the stop price occurs.

Stop orders also rest on, or are maintained in, an order book to monitorfor a trade at the stop price, which triggers an attempted trade at thelimit price. In some embodiments, a triggered limit price for a stoporder may be treated as an incoming order.

Upon identification (matching) of a contra order(s), a minimum of thequantities associated with the identified order and the incoming orderis matched and that quantity of each of the identified and incomingorders become two halves of a matched trade that is sent to a clearinghouse. The exchange computer system considers each identified order inthis manner until either all of the identified orders have beenconsidered or all of the quantity associated with the incoming order hasbeen matched, i.e., the order has been filled. If any quantity of theincoming order remains, an entry may be created in the order bookdatabase and information regarding the incoming order is recordedtherein, i.e., a resting order is placed on the order book for theremaining quantity to await a subsequent incoming order counter thereto.

It should be appreciated that in electronic trading systems implementedvia an exchange computing system, a trade price (or match value) maydiffer from (i.e., be better for the submitter, e.g., lower than asubmitted buy price or higher than a submitted sell price) the limitprice that is submitted, e.g., a price included in an incoming message,or a triggered limit price from a stop order.

As used herein, “better” than a reference value means lower than thereference value if the transaction is a purchase (or acquire)transaction, and higher than the reference value if the transaction is asell transaction. Said another way, for purchase (or acquire)transactions, lower values are better, and for relinquish or selltransactions, higher values are better.

Traders access the markets on a trading platform using trading softwarethat receives and displays at least a portion of the order book for amarket, i.e., at least a portion of the currently resting orders,enables a trader to provide parameters for an order for the producttraded in the market, and transmits the order to the exchange computersystem. The trading software typically includes a graphical userinterface to display at least a price and quantity of some of theentries in the order book associated with the market. The number ofentries of the order book displayed is generally preconfigured by thetrading software, limited by the exchange computer system, or customizedby the user. Some graphical user interfaces display order books ofmultiple markets of one or more trading platforms. The trader may be anindividual who trades on his/her behalf, a broker trading on behalf ofanother person or entity, a group, or an entity. Furthermore, the tradermay be a system that automatically generates and submits orders.

If the exchange computer system identifies that an incoming market ordermay be filled by a combination of multiple resting orders, e.g., theresting order at the best price only partially fills the incoming order,the exchange computer system may allocate the remaining quantity of theincoming, i.e., that which was not filled by the resting order at thebest price, among such identified orders in accordance withprioritization and allocation rules/algorithms, referred to as“allocation algorithms” or “matching algorithms,” as, for example, maybe defined in the specification of the particular financial product ordefined by the exchange for multiple financial products. Similarly, ifthe exchange computer system identifies multiple orders contra to theincoming limit order and that have an identical price which is favorableto the price of the incoming order, i.e., the price is equal to orbetter, e.g., lower if the incoming order is a buy (or instruction topurchase, or instruction to acquire) or higher if the incoming order isa sell (or instruction to relinquish), than the price of the incomingorder, the exchange computer system may allocate the quantity of theincoming order among such identified orders in accordance with thematching algorithms as, for example, may be defined in the specificationof the particular financial product or defined by the exchange formultiple financial products.

An exchange responds to inputs, such as trader orders, cancellation,etc., in a manner as expected by the market participants, such as basedon market data, e.g., prices, available counter-orders, etc., to providean expected level of certainty that transactions will occur in aconsistent and predictable manner and without unknown or unascertainablerisks. Accordingly, the method by which incoming orders are matched withresting orders must be defined so that market participants have anexpectation of what the result will be when they place an order or haveresting orders and an incoming order is received, even if the expectedresult is, in fact, at least partially unpredictable due to somecomponent of the process being random or arbitrary or due to marketparticipants having imperfect or less than all information, e.g.,unknown position of an order in an order book. Typically, the exchangedefines the matching/allocation algorithm that will be used for aparticular financial product, with or without input from the marketparticipants. Once defined for a particular product, thematching/allocation algorithm is typically not altered, except inlimited circumstance, such as to correct errors or improve operation, soas not to disrupt trader expectations. It will be appreciated thatdifferent products offered by a particular exchange may use differentmatching algorithms.

For example, a first-in/first-out (FIFO) matching algorithm, alsoreferred to as a “Price Time” algorithm, considers each identified ordersequentially in accordance with when the identified order was received.The quantity of the incoming order is matched to the quantity of theidentified order at the best price received earliest, then quantities ofthe next earliest best price orders, and so on until the quantity of theincoming order is exhausted. Some product specifications define the useof a pro-rata matching algorithm, wherein a quantity of an incomingorder is allocated to each of plurality of identified ordersproportionally. Some exchange computer systems provide a priority tocertain standing orders in particular markets. An example of such anorder is the first order that improves a price (i.e., improves themarket) for the product during a trading session. To be given priority,the trading platform may require that the quantity associated with theorder is at least a minimum quantity. Further, some exchange computersystems cap the quantity of an incoming order that is allocated to astanding order on the basis of a priority for certain markets. Inaddition, some exchange computer systems may give a preference to orderssubmitted by a trader who is designated as a market maker for theproduct. Other exchange computer systems may use other criteria todetermine whether orders submitted by a particular trader are given apreference. Typically, when the exchange computer system allocates aquantity of an incoming order to a plurality of identified orders at thesame price, the trading host allocates a quantity of the incoming orderto any orders that have been given priority. The exchange computersystem thereafter allocates any remaining quantity of the incoming orderto orders submitted by traders designated to have a preference, and thenallocates any still remaining quantity of the incoming order using theFIFO or pro-rata algorithms. Pro-rata algorithms used in some marketsmay require that an allocation provided to a particular order inaccordance with the pro-rata algorithm must meet at least a minimumallocation quantity. Any orders that do not meet or exceed the minimumallocation quantity are allocated to on a FIFO basis after the pro-rataallocation (if any quantity of the incoming order remains). Moreinformation regarding order allocation may be found in U.S. Pat. No.7,853,499, the entirety of which is incorporated by reference herein andrelied upon.

One exemplary system for matching is described in U.S. patentapplication Ser. No. 13/534,399, filed on Jun. 27, 2012, entitled“Multiple Trade Matching Algorithms,” published as U.S. PatentApplication Publication No. 2014/0006243 A1, the entirety of which isincorporated by reference herein and relied upon, discloses an adaptivematch engine which draws upon different matching algorithms, e.g., therules which dictate how a given order should be allocated amongqualifying resting orders, depending upon market conditions, to improvethe operation of the market. For example, for a financial product, suchas a futures contract, having a future expiration date, the match enginemay match incoming orders according to one algorithm when the remainingtime to expiration is above a threshold, recognizing that during thisportion of the life of the contract, the market for this product islikely to have high volatility. However, as the remaining time toexpiration decreases, volatility may decrease. Accordingly, when theremaining time to expiration falls below the threshold, the match engineswitches to a different match algorithm which may be designed toencourage trading relative to the declining trading volatility. Thereby,by conditionally switching among matching algorithms within the samefinancial product, as will be described, the disclosed match engine mayautomatically adapt to the changing market conditions of a financialproduct, e.g., a limited life product, in a non-preferential manner,maintaining fair order allocation while improving market liquidity,e.g., over the life of the product.

In one implementation, the system may evaluate market conditions on adaily basis and, based thereon, change the matching algorithm betweendaily trading sessions, i.e., when the market is closed, such that whenthe market reopens, a new trading algorithm is in effect for theparticular product. As will be described, the disclosed embodiments mayfacilitate more frequent changes to the matching algorithms so as todynamically adapt to changing market conditions, e.g., intra-daychanges, and even intra-order matching changes. It will be furtherappreciated that hybrid matching algorithms, which match part of anorder using one algorithm and another part of the order using adifferent algorithm, may also be used.

With respect to incoming orders, some traders, such as automated and/oralgorithmic traders, attempt to respond to market events, such as tocapitalize upon a mispriced resting order or other market inefficiency,as quickly as possible. This may result in penalizing the trader whomakes an errant trade, or whose underlying trading motivations havechanged, and who cannot otherwise modify or cancel their order fasterthan other traders can submit trades there against. It may consideredthat an electronic trading system that rewards the trader who submitstheir order first creates an incentive to either invest substantialcapital in faster trading systems, participate in the marketsubstantially to capitalize on opportunities (aggressor side/lower risktrading) as opposed to creating new opportunities (market making/higherrisk trading), modify existing systems to streamline business logic atthe cost of trade quality, or reduce one's activities and exposure inthe market. The result may be a lesser quality market and/or reducedtransaction volume, and corresponding thereto, reduced fees to theexchange.

With respect to resting orders, allocation/matching suitable restingorders to match against an incoming order can be performed, as describedherein, in many different ways. Generally, it will be appreciated thatallocation/matching algorithms are only needed when the incoming orderquantity is less than the total quantity of the suitable resting ordersas, only in this situation, is it necessary to decide which restingorder(s) will not be fully satisfied, which trader(s) will not get theirorders filled. It can be seen from the above descriptions of thematching/allocation algorithms, that they fall generally into threecategories: time priority/first-in-first-out (“FIFO”), pro rata, or ahybrid of FIFO and pro rata.

As described above, matching systems apply a single algorithm, orcombined algorithm, to all of the orders received for a particularfinancial product to dictate how the entire quantity of the incomingorder is to be matched/allocated. In contrast, the disclosed embodimentsmay apply different matching algorithms, singular or combined, todifferent orders, as will be described, recognizing that the allocationalgorithms used by the trading host for a particular market may, forexample, affect the liquidity of the market. Specifically, someallocation algorithms may encourage traders to submit more orders, whereeach order is relatively small, while other allocation algorithmsencourage traders to submit larger orders. Other allocation algorithmsmay encourage a trader to use an electronic trading system that canmonitor market activity and submit orders on behalf of the trader veryquickly and without intervention. As markets and technologies availableto traders evolve, the allocation algorithms used by trading hosts mustalso evolve accordingly to enhance liquidity and price discovery inmarkets, while maintaining a fair and equitable market.

FIFO generally rewards the first trader to place an order at aparticular price and maintains this reward indefinitely. So if a traderis the first to place an order at price X, no matter how long that orderrests and no matter how many orders may follow at the same price, assoon as a suitable incoming order is received, that first trader will bematched first. This “first mover” system may commit other traders topositions in the queue after the first move traders. Furthermore, whileit may be beneficial to give priority to a trader who is first to placean order at a given price because that trader is, in effect, taking arisk, the longer that the trader's order rests, the less beneficial itmay be. For instance, it could deter other traders from adding liquidityto the marketplace at that price because they know the first mover (andpotentially others) already occupies the front of the queue.

With a pro rata allocation, incoming orders are effectively split amongsuitable resting orders. This provides a sense of fairness in thateveryone may get some of their order filled. However, a trader who tooka risk by being first to place an order (a “market turning” order) at aprice may end up having to share an incoming order with a much latersubmitted order. Furthermore, as a pro rata allocation distributes theincoming order according to a proportion based on the resting orderquantities, traders may place orders for large quantities, which theyare willing to trade but may not necessarily want to trade, in order toincrease the proportion of an incoming order that they will receive.This results in an escalation of quantities on the order book andexposes a trader to a risk that someone may trade against one of theseorders and subject the trader to a larger trade than they intended. Inthe typical case, once an incoming order is allocated against theselarge resting orders, the traders subsequently cancel the remainingresting quantity which may frustrate other traders. Accordingly, as FIFOand pro rata both have benefits and problems, exchanges may try to usehybrid allocation/matching algorithms which attempt to balance thesebenefits and problems by combining FIFO and pro rata in some manner.However, hybrid systems define conditions or fixed rules to determinewhen FIFO should be used and when pro rata should be used. For example,a fixed percentage of an incoming order may be allocated using a FIFOmechanism with the remainder being allocated pro rata.

Traders trading on an exchange including, for example, exchange computersystem 100, often desire to trade multiple financial instruments incombination. Each component of the combination may be called a leg.Traders can submit orders for individual legs or in some cases cansubmit a single order for multiple financial instruments in anexchange-defined combination. Such orders may be called a strategyorder, a spread order, or a variety of other names.

A spread instrument may involve the simultaneous purchase of onesecurity and sale of a related security, called legs, as a unit. Thelegs of a spread instrument may be options or futures contracts, orcombinations of the two. Trades in spread instruments are executed toyield an overall net position whose value, called the spread, depends onthe difference between the prices of the legs. Spread instruments may betraded in an attempt to profit from the widening or narrowing of thespread, rather than from movement in the prices of the legs directly.Spread instruments are either “bought” or “sold” depending on whetherthe trade will profit from the widening or narrowing of the spread,respectively. An exchange often supports trading of common spreads as aunit rather than as individual legs, thus ensuring simultaneousexecution of the two legs, eliminating the execution risk of one legexecuting but the other failing.

One example of a spread instrument is a calendar spread instrument. Thelegs of a calendar spread instrument differ in delivery date of theunderlier. The leg with the earlier occurring delivery date is oftenreferred to as the lead month contract. A leg with a later occurringdelivery date is often referred to as a deferred month contract. Anotherexample of a spread instrument is a butterfly spread instrument, whichincludes three legs having different delivery dates. The delivery datesof the legs may be equidistant to each other. The counterparty ordersthat are matched against such a combination order may be individual,“outright” orders or may be part of other combination orders.

In other words, an exchange may receive, and hold or let rest on thebooks, outright orders for individual contracts as well as outrightorders for spreads associated with the individual contracts. An outrightorder (for either a contract or for a spread) may include an outrightbid or an outright offer, although some outright orders may bundle manybids or offers into one message (often called a mass quote).

A spread is an order for the price difference between two contracts.This results in the trader holding a long and a short position in two ormore related futures or options on futures contracts, with the objectiveof profiting from a change in the price relationship. A typical spreadproduct includes multiple legs, each of which may include one or moreunderlying financial instruments. A butterfly spread product, forexample, may include three legs. The first leg may consist of buying afirst contract. The second leg may consist of selling two of a secondcontract. The third leg may consist of buying a third contract. Theprice of a butterfly spread product may be calculated asLeg1−2×Leg2+Leg3. Leg 1 equals the price of the first contract, Leg2equals the price of the second contract and Leg3 equals the price of thethird contract. Thus, a butterfly spread could be assembled from twointer-delivery spreads in opposite directions with the center deliverymonth common to both spreads.

A calendar spread, also called an intra-commodity spread, for futures isan order for the simultaneous purchase and sale of the same futurescontract in different contract months (i.e., buying a September CME S&P500® futures contract and selling a December CME S&P 500 futurescontract).

A crush spread is an order, usually in the soybean futures market, forthe simultaneous purchase of soybean futures and the sale of soybeanmeal and soybean oil futures to establish a processing margin. A crackspread is an order for a specific spread trade involving simultaneouslybuying and selling contracts in crude oil and one or more derivativeproducts, typically gasoline and heating oil. Oil refineries may trade acrack spread to hedge the price risk of their operations, whilespeculators attempt to profit from a change in the oil/gasoline pricedifferential.

A straddle is an order for the purchase or sale of an equal number ofputs and calls, with the same strike price and expiration dates. A longstraddle is a straddle in which a long position is taken in both a putand a call option. A short straddle is a straddle in which a shortposition is taken in both a put and a call option. A strangle is anorder for the purchase of a put and a call, in which the options havethe same expiration and the put strike is lower than the call strike,called a long strangle. A strangle may also be the sale of a put and acall, in which the options have the same expiration and the put strikeis lower than the call strike, called a short strangle. A pack is anorder for the simultaneous purchase or sale of an equally weighted,consecutive series of four futures contracts, quoted on an average netchange basis from the previous day's settlement price. Packs provide areadily available, widely accepted method for executing multiple futurescontracts with a single transaction. A bundle is an order for thesimultaneous sale or purchase of one each of a series of consecutivefutures contracts. Bundles provide a readily available, widely acceptedmethod for executing multiple futures contracts with a singletransaction.

Thus an exchange may match outright orders, such as individual contractsor spread orders (which as discussed herein could include multipleindividual contracts). The exchange may also imply orders from outrightorders. For example, exchange computer system 100 may derive, identifyand/or advertise, publish, display or otherwise make available fortrading orders based on outright orders.

As was described above, the financial instruments which are the subjectof the orders to trade, may include one or more component financialinstruments. While each financial instrument may have its own orderbook, i.e. market, in which it may be traded, in the case of a financialinstrument having more than one component financial instrument, thosecomponent financial instruments may further have their own order booksin which they may be traded. Accordingly, when an order for a financialinstrument is received, it may be matched against a suitable counterorder in its own order book or, possibly, against a combination ofsuitable counter orders in the order books the component financialinstruments thereof, or which share a common component financialinstrument. For example, an order for a spread contract comprisingcomponent financial instruments A and B may be matched against anothersuitable order for that spread contract. However, it may also be matchedagainst suitable separate counter orders for the A and for the Bcomponent financial instruments found in the order books therefore.Similarly, if an order for the A contract is received and suitable matchcannot be found in the A order book, it may be possible to match orderfor A against a combination of a suitable counter order for a spreadcontract comprising the A and B component financial instruments and asuitable counter order for the B component financial instrument. This isreferred to as “implication” where a given order for a financialinstrument may be matched via a combination of suitable counter ordersfor financial instruments which share common, or otherwiseinterdependent, component financial instruments. Implication increasesthe liquidity of the market by providing additional opportunities fororders to be traded. Increasing the number of transactions may furtherincrease the number of transaction fees collected by the electronictrading system.

The order for a particular financial instrument actually received from amarket participant, whether it comprises one or more component financialinstruments, is referred to as a “real” or “outright” order, or simplyas an outright. The one or more orders which must be synthesized andsubmitted into order books other than the order book for the outrightorder in order to create matches therein, are referred to as “implied”orders. Upon receipt of an incoming order, the identification orderivation of suitable implied orders which would allow at least apartial trade of the incoming outright order to be executed is referredto as “implication” or “implied matching”, the identified orders beingreferred to as an “implied match.” Depending on the number componentfinancial instruments involved, and whether those component financialinstruments further comprise component financial instruments of theirown, there may be numerous different implied matches identified whichwould allow the incoming order to be at least partially matched andmechanisms may be provided to arbitrate, e.g., automatically, amongthem, such as by picking the implied match comprising the least numberof component financial instruments or the least number of synthesizedorders.

Upon receipt of an incoming order, or thereafter, a combination of oneor more suitable/hypothetical counter orders which have not actuallybeen received but if they were received, would allow at least a partialtrade of the incoming order to be executed, may be, e.g., automatically,identified or derived and referred to as an “implied opportunity.” Aswith implied matches, there may be numerous implied opportunitiesidentified for a given incoming order. Implied opportunities areadvertised to the market participants, such as via suitable syntheticorders, e.g. counter to the desired order, being placed on therespective order books to rest (or give the appearance that there is anorder resting) and presented via the market data feed, electronicallycommunicated to the market participants, to appear available to trade inorder to solicit the desired orders from the market participants.Depending on the number component financial instruments involved, andwhether those component financial instruments further comprise componentfinancial instruments of their own, there may be numerous impliedopportunities, the submission of a counter order in response thereto,would allow the incoming order to be at least partially matched.

Implied opportunities, e.g. the advertised synthetic orders, mayfrequently have better prices than the corresponding real orders in thesame contract. This can occur when two or more traders incrementallyimprove their order prices in the hope of attracting a trade, sincecombining the small improvements from two or more real orders can resultin a big improvement in their combination. In general, advertisingimplied opportunities at better prices will encourage traders to enterthe opposing orders to trade with them. The more implied opportunitiesthat the match engine of an electronic trading system cancalculate/derive, the greater this encouragement will be and the morethe Exchange will benefit from increased transaction volume. However,identifying implied opportunities may be computationally intensive. In ahigh performance trading system where low transaction latency isimportant, it may be important to identify and advertise impliedopportunities quickly so as to improve or maintain market participantinterest and/or market liquidity.

For example, two different outright orders may be resting on the books,or be available to trade or match. The orders may be resting becausethere are no outright orders that match the resting orders. Thus, eachof the orders may wait or rest on the books until an appropriateoutright counteroffer comes into the exchange or is placed by a user ofthe exchange. The orders may be for two different contracts that onlydiffer in delivery dates. It should be appreciated that such orderscould be represented as a calendar spread order. Instead of waiting fortwo appropriate outright orders to be placed that would match the twoexisting or resting orders, the exchange computer system may identify ahypothetical spread order that, if entered into the system as a tradablespread order, would allow the exchange computer system to match the twooutright orders. The exchange may thus advertise or make available aspread order to users of the exchange system that, if matched with atradable spread order, would allow the exchange to also match the tworesting orders. Thus, the match engine is configured to detect that thetwo resting orders may be combined into an order in the spreadinstrument and accordingly creates an implied order.

In other words, the exchange's matching system may imply thecounteroffer order by using multiple orders to create the counterofferorder. Examples of spreads include implied IN, implied OUT, 2nd- ormultiple-generation, crack spreads, straddle, strangle, butterfly, andpack spreads. Implied IN spread orders are derived from existingoutright orders in individual legs. Implied OUT outright orders arederived from a combination of an existing spread order and an existingoutright order in one of the individual underlying legs. Implied orderscan fill in gaps in the market and allow spreads and outright futurestraders to trade in a product where there would otherwise have beenlittle or no available bids and asks.

For example, implied IN spreads may be created from existing outrightorders in individual contracts where an outright order in a spread canbe matched with other outright orders in the spread or with acombination of orders in the legs of the spread. An implied OUT spreadmay be created from the combination of an existing outright order in aspread and an existing outright order in one of the individualunderlying leg. An implied IN or implied OUT spread may be created whenan electronic match system simultaneously works synthetic spread ordersin spread markets and synthetic orders in the individual leg marketswithout the risk to the trader/broker of being double filled or filledon one leg and not on the other leg.

By linking the spread and outright markets, implied spread tradingincreases market liquidity. For example, a buy in one contract month andan offer in another contract month in the same futures contract cancreate an implied market in the corresponding calendar spread. Anexchange may match an order for a spread product with another order forthe spread product. Some existing exchanges attempt to match orders forspread products with multiple orders for legs of the spread products.With such systems, every spread product contract is broken down into acollection of legs and an attempt is made to match orders for the legs.

Implied orders, unlike real orders, are generated by electronic tradingsystems. In other words, implied orders are computer generated ordersderived from real orders. The system creates the “derived” or “implied”order and provides the implied order as a market that may be tradedagainst. If a trader trades against this implied order, then the realorders that combined to create the implied order and the resultingmarket are executed as matched trades. Implied orders generally increaseoverall market liquidity. The creation of implied orders increases thenumber of tradable items, which has the potential of attractingadditional traders. Exchanges benefit from increased transaction volume.Transaction volume may also increase as the number of matched tradeitems increases.

Examples of implied spread trading include those disclosed in U.S.Patent Publication No. 2005/0203826, entitled “Implied Spread TradingSystem,” the entire disclosure of which is incorporated by referenceherein and relied upon. Examples of implied markets include thosedisclosed in U.S. Pat. No. 7,039,610, entitled “Implied Market TradingSystem,” the entire disclosure of which is incorporated by referenceherein and relied upon.

In some cases, the outright market for the deferred month or otherconstituent contract may not be sufficiently active to provide marketdata (e.g., bid-offer data) and/or trade data. Spread instrumentsinvolving such contracts may nonetheless be made available by theexchange. The market data from the spread instruments may then be usedto determine a settlement price for the constituent contract. Thesettlement price may be determined, for example, through a boundaryconstraint-based technique based on the market data (e.g., bid-offerdata) for the spread instrument, as described in U.S. Patent PublicationNo. 2015/0073962 entitled “Boundary Constraint-Based Settlement inSpread Markets” (“the '962 Publication”), the entire disclosure of whichis incorporated by reference herein and relied upon. Settlement pricedetermination techniques may be implemented to cover calendar monthspread instruments having different deferred month contracts.

In one embodiment, the messages associated with objects may be stored inspecific ways depending on the characteristics of the various messagesand the states of the various objects in memory. For example, a systemmay hold certain resting messages in queue until the message is to beprocessed, e.g., the message is involved in a match. The order, sequenceor priority given to messages may depend on the characteristics of themessage. For example, in certain environments, messages may indicate anaction that a computer in the system should perform. Actions may becomplementary actions, or require more than one message to complete. Forexample, a system may be tasked with matching messages or actionscontained within messages. The messages that are not matched may bequeued by the system in a data queue or other structure, e.g., a datatree having nodes representing messages or orders.

The queues are structured so that the messages are stored in sequenceaccording to priority. Although the embodiments are disclosed as beingimplemented in queues, it should be understood that different datastructures such as for example linked lists or trees may also be used.

The system may include separate data structures, e.g., queues, fordifferent actions associated with different objects within the system.For example, in one embodiment, the system may include a queue for eachpossible action that can be performed on an object. The action may beassociated with a value. The system prioritizes the actions based inpart on the associated value.

Packets and packet switched networks are used extensively in electroniccommunications. Packet switched networks utilize a digital networkingcommunications method that groups all transmitted data, regardless ofcontent, type, or structure, into suitably sized blocks, called packets.Generally, packets may contain control information as well as user data,also known as a payload or actual content. Typically, the controlinformation provides data the network needs to deliver the user datasuch as source and destination network addresses and the user datainvolves the actual content intended to be communicated between thesource and the destination. For example, packets may be consideredmessages, with the control information providing addresses orinformation about the actual content of the message included as userdata.

Under the Open System Interconnection (“OSI”) model, which is aconceptual model that characterizes and standardizes the internalfunctions of a communication system by partitioning it into abstractionlayers, the physical abstraction layer defines electrical and physicalspecifications for devices. In particular, it defines the relationshipbetween a device and a transmission medium, such as a copper or fiberoptical cable. This includes the layout of pins, voltages, lineimpedance, cable specifications, signal timing, hubs, repeaters, networkadapters, host bus adapters (HBA used in storage area networks) andmore. The major functions and services performed by the physical layerinclude: establishment and termination of a connection to acommunications medium; participation in the process whereby thecommunication resources are effectively shared among multiple users, forexample, contention resolution and flow control; and modulation orconversion between the representation of digital data in user equipmentand the corresponding signals transmitted over a communications channel,these signals operating over the physical cabling (such as copper andoptical fiber) or over a radio link.

In a TCP/IP implementation, a source (e.g., client computer) applicationmay provide application layer data to a TCP layer (transport layer),which divides the data into segments and adds a TCP header to thesegmented data. The TCP layer passes TCP segments to an IP layer, whichadds an IP header to the TCP segments and passes the information/data tothe recipient in the form of IP packets communicated over the IPprotocol. The IP layer relies on a physical layer which transmit the IPpackets in network frames to the recipient. Each layer may add its ownheader to the data received from another layer. On the recipient side,the physical layer passes IP packets to the IP layer, which passes TCPsegments to the TCP (transport) layer, which in turn passes applicationdata to the destination application.

As used herein, electronic message data segments may refer to TCPsegments, which may include IP packets. Electronic message packets mayrefer to IP packets, or may refer generally any division/packeting ofdata, e.g., for easier/more convenient transmission thereof.

Electronic message packets may be communicated via networks. Generally,a network interconnects one or more computers so that they maycommunicate with one another, whether they are in the same room orbuilding (such as a Local Area Network or LAN) or across the countryfrom each other (such as a Wide Area Network or WAN). A network is aseries of points or nodes interconnected by communications paths.Networks can interconnect with other networks and can containsub-networks. A node is a connection point, either a redistributionpoint or an end point, for data transmissions generated between thecomputers which are connected to the network. In general, a node has aprogrammed or engineered capability to recognize and process or forwardtransmissions to other nodes. The nodes can be computer workstations,servers, bridges or other devices but typically, these nodes are routersor switches. Electronic message packets may be communicated from anorigin through a series of nodes to an intended final destination.

Further, even as electronic message packets arrive at a destination(e.g., the data transaction processing system), the handling of theelectronic message packets at the destination may also involve multiplesteps, component interactions, and processes until the message isultimately received by a destination application for use thereby. Thisprocess may be further complicated if multiple electronic messagepackets from multiple origins are communicated to a common destinationapplication using communication protocols that organize electronicmessage packets based on origin and/or prioritization rules forprocessing at the common destination. For example, a communicationprotocol may indicate that a buffer will be created for each source atthe destination, and that electronic message packets from each sourcewill be placed in the respective buffer for each source at thedestination. The receiving computer may reassemble the electronicmessage packets into electronic message data segments, which may in turnbe reassembled and provided to a destination application. Thedestination application may process, consume, or otherwise use theelectronic message packet or electronic message data segment payload,and report on the results of the processing, consumption, and/or usageof the messages back to the origin or source of the message. Forexample, the electronic message packets and/or electronic message datasegments may be provided to an order entry gateway in a deterministicmanner. For additional information on deterministic processing, see U.S.Pub. No. 2015/0178831, filed on Dec. 19, 2013, entitled “DeterministicAnd Efficient Message Packet Management”, the entirety of which isincorporated by reference herein and relied upon. The order entrygateway may be configured to collect the electronic messagepackets/segments and provide them to an order book or a match engine forone or more financial instruments. A match engine may then use theelectronic message packets and the determined order to match ordersrepresented by the electronic message packets based on a prioritydetermined from the determined order. The communications protocol mayprovide a transport layer acknowledgement message to the source of anelectronic message data segment substantially immediately, e.g., beforethe electronic message data segment is processed by a destinationapplication. In the process, it may be necessary for the datatransaction processing system to generate and associate a uniqueidentification number for each electronic data transaction requestmessage, and provide the identification number to the message sourceassociated with the electronic data transaction request message. In oneembodiment, the message source (e.g., client computer) cannot submitadditional instructions (e.g., additional electronic data transactionrequest messages) associated with an initial electronic data transactionrequest message until the identification number of the initialelectronic data transaction request message is provided to the clientcomputer. The disclosed embodiments facilitate efficient processing ofelectronic message data segments communicated to an application via anetwork from a plurality of message sources using a communicationsprotocol which generates a transport layer acknowledgement message uponreceipt of an electronic message data segment.

FIG. 8 illustrates an example computer implemented method forfacilitation of efficient processing of a plurality of electronicmessages communicated to an application via a network, which may beimplemented with computer devices and computer networks, such as thosedescribed with respect to FIG. 2. Embodiments may involve all, more orfewer actions indicated by the actions of FIG. 8. The actions may beperformed in the order or sequence shown or in a different sequence.

At step 802, a communication interface (e.g., communication interface218) coupled with a network receives one or more electronic messagesfrom the network that include actionable object data and textual objectdata from a message source device. The actionable object data includingone or more parameters actionable by at least one data processingtransaction device to perform one or more data processing transactionsexternal to the network device and the textual object data including oneor more descriptors of the one or more parameters actionable by the atleast one data processing transaction device, the textual object dataoperable by devices incompatible with the actionable object data;

The communication interface 218 or the processor 202 are examples of ameans for receiving an electronic message including actionable objectdata and textual object data from a message source device.

At step 804, the processor 202 calculates an execution command for thedata processing transaction in response to the actionable object data.The execution command based on at least the one or more parameters ofthe actionable object data. The processor 202 may execute an executablefile included in the instant message, which results in the executioncommand handled internally by the processor 202 or sent to anotherdevice. The processor 202 is a means for calculating the executioncommand.

At step 806, the communication interface 218 sends a data transactionrequest message including the execution command to the at least one dataprocessing transaction device. The communication interface 218 or theprocessor 202 are examples of a means for sending a data transactionrequest message including the execution command to the at least one dataprocessing transaction device.

At step 808, the bus 208 sends data from the processor 202 to display214 for display based on the textual object data. The bus 208 or theprocessor 202 are examples of a means for sending data for display basedon the textual object data including the one or more descriptors of theone or more parameters actionable by the data processing transactiondevice to a display device other than the at least one data processingtransaction device. The display 214 is a means for displaying thetextual object data.

The speed with which an exchange computing system can receive andprocess electronic data transaction request messages is important to thesuccess of the exchange computing system. It may be important for thedata transaction processing system to process and respond to customers'electronic data transaction request messages as soon as possible. Thus,it may not be desirable to delay processing of electronic datatransaction request messages by generating identification numbers beforethe electronic data transaction request messages are processed (e.g.,matched). Moreover, once an identification number is generated, it mustbe associated with the electronic data transaction request message forthe life of the electronic data transaction request message in theexchange computing system. When an identification number is associatedwith the electronic data transaction request message, the size of theelectronic data transaction request message may increase (because it nowincludes the identification number). Or, the identification number maybe stored in a memory, and a pointer to that memory location is thenassociated with the electronic data transaction request message.Accordingly, to avoid delay of generating identification numbers andcomplexity of associating identification numbers with electronic datatransaction request messages, an exchange computing system may notgenerate identification numbers until after an electronic datatransaction request message enters the match engine (e.g., matchcomponent) and has been processed by the match engine. However, thiscauses customers to have to wait until an electronic data transactionrequest message is processed to receive its identification number.During this time period, which can vary depending on the state of theexchange computing system and the results of match attempts, customershave no control over their previously submitted orders. For moreinformation on the impact of latency on customers in a data transactionprocessing system, see U.S. application Ser. No. 15/260,707, entitled“Message Cancelation Based On Data Transaction Processing SystemLatency”, filed Sep. 9, 2016, the entirety of which is incorporated byreference herein and relied upon. As discussed above, identificationnumbers provide a useful way for traders to control previously submittedorders.

In one embodiment, the disclosed message management module uses hardwarelevel information that is already present and generated in the system(e.g., a timestamp) to quickly and efficiently generate identificationnumbers without slowing down or delaying processing of electronic datatransaction request messages by the exchange computing system. Becausethe disclosed embodiments allow for rapid generation and TCP leveltransmission of valid identification numbers, the exchange computingsystem can balance customer control over messages (via immediatelyreceived identification numbers) with the exchange computing system'sdesire to process electronic data transaction request messages in thematch engine as quickly as possible.

Examples of the various types of market data feeds which may be providedby electronic trading systems, such as the CME, in order to providedifferent types or subsets of market information or to provide suchinformation in different formats include Market By Order or Per Order,Market Depth (also known as Market by Price or Aggregated By Value to adesignated depth of the book), e.g., CME offers a 10-deep market byprice feed, Top of Book (a single depth Market by Price feed), andcombinations thereof. There may also be all manner of specialized feedsin terms of the content, i.e., providing, for example, derived data,such as a calculated index.

Market data feeds may be characterized as providing a “view” or“overview” of a given market, an aggregation or a portion thereof orchanges thereto. For example, a market data feed, such as a Market ByPrice (“MBP”) feed, also known as an Aggregated By Value (“ABV”) feed,may convey, with each message, the entire/current state of a market, orportion thereof, for a particular product as a result of one or moremarket impacting events. For example, an MBP message may convey a totalquantity of resting buy/sell orders at a particular price level inresponse to a new order being placed at that price. An MBP message mayconvey a quantity of an instrument which was traded in response to anincoming order being matched with one or more resting orders. MBPmessages may only be generated for events affecting a portion of amarket, e.g., only the top 10 resting buy/sell orders and, thereby, onlyprovide a view of that portion. As used herein, a market impactingrequest may be said to impact the “view” of the market as presented viathe market data feed.

An MBP feed may utilize different message formats for conveyingdifferent types of market impacting events. For example, when a neworder is rested on the order book, an MBP message may reflect thecurrent state of the price level to which the order was added, e.g., thenew aggregate quantity and the new aggregate number of resting orders.As can be seen, such a message conveys no information about theindividual resting orders, including the newly rested order, themselvesto the market participants. Only the submitting market participant, whoreceives a separate private message acknowledging the event, knows thatit was their order that was added to the book. Similarly, when a tradeoccurs, an MBP message may be sent which conveys the price at which theinstrument was traded, the quantity traded and the number ofparticipating orders, but may convey no information as to whoseparticular orders contributed to the trade. MBP feeds may further batchreporting of multiple events, i.e., report the result of multiple marketimpacting events in a single message.

Alternatively, a market data feed, referred to as a Market By Order(“MBO”) feed also known as a Per Order (“PO”) feed, may convey datareflecting a change that occurred to the order book rather than theresult of that change, e.g., that order ABC for quantity X was added toprice level Y or that order ABC and order XYZ traded a quantity X at aprice Y. In this case, the MBO message identifies only the change thatoccurred so a market participant wishing to know the current state ofthe order book must maintain their own copy and apply the changereflected in the message to know the current state. As can be seen,MBO/PO messages may carry much more data than MBP/ABV messages becauseMBO/PO messages reflect information about each order, whereas MBP/ABVmessages contain information about orders affecting some predeterminedvalue levels. Furthermore, because specific orders, but not thesubmitting traders thereof, are identified, other market participantsmay be able to follow that order as it progresses through the market,e.g., as it is modified, canceled, traded, etc.

An ABV book data object may include information about multiple values.The ABV book data object may be arranged and structured so thatinformation about each value is aggregated together. Thus, for a givenvalue V, the ABV book data object may aggregate all the information byvalue, such as for example, the number of orders having a certainposition at value V, the quantity of total orders resting at value V,etc. Thus, the value field may be the key, or may be a unique field,within an ABV book data object. In one embodiment, the value for eachentry within the ABV book data object is different. In one embodiment,information in an ABV book data object is presented in a manner suchthat the value field is the most granular field of information.

A PO book data object may include information about multiple orders. ThePO book data object may be arranged and structured so that informationabout each order is represented. Thus, for a given order O, the PO bookdata object may provide all of the information for order O. Thus, theorder field may be the key, or may be a unique field, within a PO bookdata object. In one embodiment, the order ID for each entry within thePO book data object is different. In one embodiment, information in a PObook data object is presented in a manner such that the order field isthe most granular field of information.

Thus, the PO book data object may include data about unique orders,e.g., all unique resting orders for a product, and the ABV book dataobject may include data about unique values, e.g., up to a predeterminedlevel, e.g., top ten price or value levels, for a product.

It should be appreciated that the number, type and manner of market datafeeds provided by an electronic trading system are implementationdependent and may vary depending upon the types of products traded bythe electronic trading system, customer/trader preferences, bandwidthand data processing limitations, etc. and that all such feeds, nowavailable or later developed, are contemplated herein. MBP/ABV andMBO/PO feeds may refer to categories/variations of market data feeds,distinguished by whether they provide an indication of the current stateof a market resulting from a market impacting event (MBP) or anindication of the change in the current state of a market due to amarket impacting event (MBO).

Messages, whether MBO or MBP, generated responsive to market impactingevents which are caused by a single order, such as a new order, an ordercancellation, an order modification, etc., are fairly simple and compactand easily created and transmitted. However, messages, whether MBO orMBP, generated responsive to market impacting events which are caused bymore than one order, such as a trade, may require the transmission of asignificant amount of data to convey the requisite information to themarket participants. For trades involving a large number of orders,e.g., a buy order for a quantity of 5000 which matches 5000 sell orderseach for a quantity of 1, a significant amount of information may needto be sent, e.g., data indicative of each of the 5000 trades that haveparticipated in the market impacting event.

In one embodiment, an exchange computing system may generate multipleorder book objects, one for each type of view that is published orprovided. For example, the system may generate a PO book object and anABV book object. It should be appreciated that each book object, or viewfor a product or market, may be derived from the Per Order book object,which includes all the orders for a given financial product or market.

An inbound message may include an order that affects the PO book object,the ABV book object, or both. An outbound message may include data fromone or more of the structures within the exchange computing system,e.g., the PO book object queues or the ABV book object queues.

Furthermore, each participating trader needs to receive a notificationthat their particular order has traded. Continuing with the example,this may require sending 5001 individual trade notification messages, oreven 10,000+ messages where each contributing side (buy vs. sell) isseparately reported, in addition to the notification sent to all of themarket participants.

As detailed in U.S. patent application Ser. No. 14/100,788, the entiretyof which is incorporated by reference herein and relied upon, it may berecognized that trade notifications sent to all market participants mayinclude redundant information repeated for each participating trade anda structure of an MBP trade notification message may be provided whichresults in a more efficient communication of the occurrence of a trade.The message structure may include a header portion which indicates thetype of transaction which occurred, i.e., a trade, as well as othergeneral information about the event, an instrument portion whichcomprises data about each instrument which was traded as part of thetransaction, and an order portion which comprises data about eachparticipating order. In one embodiment, the header portion may include amessage type, Transaction Time, Match Event Indicator, and Number ofMarket Data Entries (“No. MD Entries”) fields. The instrument portionmay include a market data update action indicator (“MD Update Action”),an indication of the Market Data Entry Type (“MD Entry Type”), anidentifier of the instrument/security involved in the transaction(“Security ID”), a report sequence indicator (“Rpt Seq”), the price atwhich the instrument was traded (“MD Entry PX”), the aggregate quantitytraded at the indicated price (“ConsTradeQty”), the number ofparticipating orders (“NumberOfOrders”), and an identifier of theaggressor side (“Aggressor Side”) fields. The order portion may furtherinclude an identifier of the participating order (“Order ID”), describedin more detail below, and the quantity of the order traded (“MD EntrySize”) fields. It should be appreciated that the particular fieldsincluded in each portion are implementation dependent and that differentfields in addition to, or in lieu of, those listed may be includeddepending upon the implementation. It should be appreciated that theexemplary fields can be compliant with the FIX binary and/or FIX/FASTprotocol for the communication of the financial information.

The instrument portion contains a set of fields, e.g., seven fieldsaccounting for 23 bytes, which are repeated for each participatinginstrument. In complex trades, such as trades involving combinationorders or strategies, e.g., spreads, or implied trades, there may bemultiple instruments being exchanged among the parties. In oneembodiment, the order portion includes only one field, accounting for 4bytes, for each participating order which indicates the quantity of thatorder which was traded. As will be discussed below, the order portionmay further include an identifier of each order, accounting for anadditional 8 bytes, in addition to the quantity thereof traded. Asshould be appreciated, data which would have been repeated for eachparticipating order, is consolidated or otherwise summarized in theheader and instrument portions of the message thereby eliminatingredundant information and, overall, significantly reducing the size ofthe message.

While the disclosed embodiments will be discussed with respect to an MBPmarket data feed, it should be appreciated that the disclosedembodiments may also be applicable to an MBO market data feed.

In one embodiment, the disclosed system may include a Market SegmentGateway (“MSG”) that is the point of ingress/entry and/oregress/departure for all transactions, i.e., the network traffic/packetscontaining the data therefore, specific to a single market at which theorder of receipt of those transactions may be ascribed. An MSG or MarketSegment Gateway may be utilized for the purpose of deterministicoperation of the market. The electronic trading system may includemultiple markets, and because the electronic trading system includes oneMSG for each market/product implemented thereby, the electronic tradingsystem may include multiple MSGs. For more detail on deterministicoperation in a trading system, see U.S. patent application Ser. No.14/074,667 entitled “Transactionally Deterministic High Speed FinancialExchange Having Improved, Efficiency, Communication, Customization,Performance, Access, Trading Opportunities, Credit Controls, And FaultTolerance” and filed on Nov. 7, 2013, the entire disclosure of which isincorporated by reference herein and relied upon.

For example, a participant may send a request for a new transaction,e.g., a request for a new order, to the MSG. The MSG extracts or decodesthe request message and determines the characteristics of the requestmessage.

The MSG may include, or otherwise be coupled with, a buffer, cache,memory, database, content addressable memory, data store or other datastorage mechanism, or combinations thereof, which stores data indicativeof the characteristics of the request message. The request is passed tothe transaction processing system, e.g., the match engine.

An MSG or Market Segment Gateway may be utilized for the purpose ofdeterministic operation of the market. Transactions for a particularmarket may be ultimately received at the electronic trading system viaone or more points of entry, e.g., one or more communicationsinterfaces, at which the disclosed embodiments apply determinism, whichas described may be at the point where matching occurs, e.g., at eachmatch engine (where there may be multiple match engines, each for agiven product/market, or moved away from the point where matching occursand closer to the point where the electronic trading system firstbecomes “aware” of the incoming transaction, such as the point wheretransaction messages, e.g., orders, ingress the electronic tradingsystem. Generally, the terms “determinism” or “transactionaldeterminism” may refer to the processing, or the appearance thereof, oforders in accordance with defined business rules. Accordingly, as usedherein, the point of determinism may be the point at which theelectronic trading system ascribes an ordering to incomingtransactions/orders relative to other incoming transactions/orders suchthat the ordering may be factored into the subsequent processing, e.g.,matching, of those transactions/orders as will be described. For moredetail on deterministic operation in a trading system, see U.S. patentapplication Ser. No. 14/074,675, filed on Nov. 7, 2013, published asU.S. Patent Publication No. 2015/0127516 (“the '516 Publication”),entitled “Transactionally Deterministic High Speed Financial ExchangeHaving Improved, Efficiency, Communication, Customization, Performance,Access, Trading Opportunities, Credit Controls, And Fault Tolerance”,the entirety of which is incorporated by reference herein and reliedupon.

Electronic trading of financial instruments, such as futures contracts,is conducted by market participants sending orders, such as to buy orsell one or more futures contracts, in electronic form to the exchange.These electronically submitted orders to buy and sell are then matched,if possible, by the exchange, i.e., by the exchange's matching engine,to execute a trade. Outstanding (unmatched, wholly unsatisfied/unfilledor partially satisfied/filled) orders are maintained in one or more datastructures or databases referred to as “order books,” such orders beingreferred to as “resting,” and made visible, i.e., their availability fortrading is advertised, to the market participants through electronicnotifications/broadcasts, referred to as market data feeds. An orderbook is typically maintained for each product, e.g., instrument, tradedon the electronic trading system and generally defines or otherwiserepresents the state of the market for that product, i.e., the currentprices at which the market participants are willing buy or sell thatproduct. As such, as used herein, an order book for a product may alsobe referred to as a market for that product.

Upon receipt of an incoming order to trade in a particular financialinstrument, whether for a single-component financial instrument, e.g., asingle futures contract, or for a multiple-component financialinstrument, e.g., a combination contract such as a spread contract, amatch engine, as described herein, will attempt to identify a previouslyreceived but unsatisfied order counter thereto, i.e., for the oppositetransaction (buy or sell) in the same financial instrument at the sameor better price (but not necessarily for the same quantity unless, forexample, either order specifies a condition that it must be entirelyfilled or not at all).

Previously received but unsatisfied orders, i.e., orders which eitherdid not match with a counter order when they were received or theirquantity was only partially satisfied, referred to as a partial fill,are maintained by the electronic trading system in an order bookdatabase/data structure to await the subsequent arrival of matchingorders or the occurrence of other conditions which may cause the orderto be modified or otherwise removed from the order book.

If the match engine identifies one or more suitable previously receivedbut unsatisfied counter orders, they, and the incoming order, arematched to execute a trade there between to at least partially satisfythe quantities of one or both the incoming order or the identifiedorders. If there remains any residual unsatisfied quantity of theidentified one or more orders, those orders are left on the order bookwith their remaining quantity to await a subsequent suitable counterorder, i.e., to rest. If the match engine does not identify a suitablepreviously received but unsatisfied counter order, or the one or moreidentified suitable previously received but unsatisfied counter ordersare for a lesser quantity than the incoming order, the incoming order isplaced on the order book, referred to as “resting”, with original orremaining unsatisfied quantity, to await a subsequently receivedsuitable order counter thereto. The match engine then generates matchevent data reflecting the result of this matching process. Othercomponents of the electronic trading system, as will be described, thengenerate the respective order acknowledgment and market data messagesand transmit those messages to the market participants.

Matching, which is a function typically performed by the exchange, is aprocess, for a given order which specifies a desire to buy or sell aquantity of a particular instrument at a particular price, ofseeking/identifying one or more wholly or partially, with respect toquantity, satisfying counter orders thereto, e.g., a sell counter to anorder to buy, or vice versa, for the same instrument at the same, orsometimes better, price (but not necessarily the same quantity), whichare then paired for execution to complete a trade between the respectivemarket participants (via the exchange) and at least partially satisfythe desired quantity of one or both of the order and/or the counterorder, with any residual unsatisfied quantity left to await anothersuitable counter order, referred to as “resting.” A match event mayoccur, for example, when an aggressing order matches with a restingorder. In one embodiment, two orders match because one order includesinstructions for or specifies buying a quantity of a particularinstrument at a particular price, and the other order includesinstructions for or specifies selling a (different or same) quantity ofthe instrument at a same or better price. It should be appreciated thatperforming an instruction associated with a message may includeattempting to perform the instruction. Whether or not an exchangecomputing system is able to successfully perform an instruction maydepend on the state of the electronic marketplace.

While the disclosed embodiments will be described with respect to aproduct by product or market by market implementation, e.g. implementedfor each market/order book, it will be appreciated that the disclosedembodiments may be implemented so as to apply across markets formultiple products traded on one or more electronic trading systems, suchas by monitoring an aggregate, correlated or other derivation of therelevant indicative parameters as described herein.

While the disclosed embodiments may be discussed in relation to futuresand/or options on futures trading, it should be appreciated that thedisclosed embodiments may be applicable to any equity, fixed incomesecurity, currency, commodity, options or futures trading system ormarket now available or later developed. It may be appreciated that atrading environment, such as a futures exchange as described herein,implements one or more economic markets where rights and obligations maybe traded. As such, a trading environment may be characterized by a needto maintain market integrity, transparency, predictability,fair/equitable access and participant expectations with respect thereto.In addition, it may be appreciated that electronic trading systemsfurther impose additional expectations and demands by marketparticipants as to transaction processing speed, latency, capacity andresponse time, while creating additional complexities relating thereto.Accordingly, as will be described, the disclosed embodiments may furtherinclude functionality to ensure that the expectations of marketparticipants are met, e.g., that transactional integrity and predictablesystem responses are maintained.

Financial instrument trading systems allow traders to submit orders andreceive confirmations, market data, and other information electronicallyvia electronic messages exchanged using a network. Electronic tradingsystems ideally attempt to offer a more efficient, fair and balancedmarket where market prices reflect a true consensus of the value oftraded products among the market participants, where the intentional orunintentional influence of any one market participant is minimized ifnot eliminated, and where unfair or inequitable advantages with respectto information access are minimized if not eliminated.

Electronic marketplaces attempt to achieve these goals by usingelectronic messages to communicate actions and related data of theelectronic marketplace between market participants, clearing firms,clearing houses, and other parties. The messages can be received usingan electronic trading system, wherein an action or transactionassociated with the messages may be executed. For example, the messagemay contain information relating to an order to buy or sell a product ina particular electronic marketplace, and the action associated with themessage may indicate that the order is to be placed in the electronicmarketplace such that other orders which were previously placed maypotentially be matched to the order of the received message. Thus theelectronic marketplace may conduct market activities through electronicsystems.

The clearing house of an exchange clears, settles and guarantees matchedtransactions in contracts occurring through the facilities of theexchange. In addition, the clearing house establishes and monitorsfinancial requirements for clearing members and conveys certain clearingprivileges in conjunction with the relevant exchange markets.

The clearing house establishes clearing level performance bonds(margins) for all products of the exchange and establishes minimumperformance bond requirements for customers of such products. Aperformance bond, also referred to as a margin requirement, correspondswith the funds that must be deposited by a customer with his or herbroker, by a broker with a clearing member or by a clearing member withthe clearing house, for the purpose of insuring the broker or clearinghouse against loss on open futures or options contracts. This is not apart payment on a purchase. The performance bond helps to ensure thefinancial integrity of brokers, clearing members and the exchange as awhole. The performance bond refers to the minimum dollar depositrequired by the clearing house from clearing members in accordance withtheir positions. Maintenance, or maintenance margin, refers to a sum,usually smaller than the initial performance bond, which must remain ondeposit in the customer's account for any position at all times. Theinitial margin is the total amount of margin per contract required bythe broker when a futures position is opened. A drop in funds below thislevel requires a deposit back to the initial margin levels, i.e., aperformance bond call. If a customer's equity in any futures positiondrops to or under the maintenance level because of adverse price action,the broker must issue a performance bond/margin call to restore thecustomer's equity. A performance bond call, also referred to as a margincall, is a demand for additional funds to bring the customer's accountback up to the initial performance bond level whenever adverse pricemovements cause the account to go below the maintenance.

The exchange derives its financial stability in large part by removingdebt obligations among market participants as they occur. This isaccomplished by determining a settlement price at the close of themarket each day for each contract and marking all open positions to thatprice, referred to as “mark to market.” Every contract is debited orcredited based on that trading session's gains or losses. As prices movefor or against a position, funds flow into and out of the tradingaccount. In the case of the CME, each business day by 6:40 a.m. Chicagotime, based on the mark-to-the-market of all open positions to theprevious trading day's settlement price, the clearing house pays to orcollects cash from each clearing member. This cash flow, known assettlement variation, is performed by CME's settlement banks based oninstructions issued by the clearing house. All payments to andcollections from clearing members are made in “same-day” funds. Inaddition to the 6:40 a.m. settlement, a daily intra-day mark-to-themarket of all open positions, including trades executed during theovernight GLOBEX®, the CME's electronic trading systems, trading sessionand the current day's trades matched before 11:15 a.m., is performedusing current prices. The resulting cash payments are made intra-day forsame day value. In times of extreme price volatility, the clearing househas the authority to perform additional intra-day mark-to-the-marketcalculations on open positions and to call for immediate payment ofsettlement variation. CME's mark-to-the-market settlement system differsfrom the settlement systems implemented by many other financial markets,including the interbank, Treasury securities, over-the-counter foreignexchange and debt, options, and equities markets, where participantsregularly assume credit exposure to each other. In those markets, thefailure of one participant can have a ripple effect on the solvency ofthe other participants. Conversely, CME's mark-to-the-market system doesnot allow losses to accumulate over time or allow a market participantthe opportunity to defer losses associated with market positions.

While the disclosed embodiments may be described in reference to theCME, it should be appreciated that these embodiments are applicable toany exchange. Such other exchanges may include a clearing house that,like the CME clearing house, clears, settles and guarantees all matchedtransactions in contracts of the exchange occurring through itsfacilities. In addition, such clearing houses establish and monitorfinancial requirements for clearing members and convey certain clearingprivileges in conjunction with the relevant exchange markets.

The disclosed embodiments are also not limited to uses by a clearinghouse or exchange for purposes of enforcing a performance bond or marginrequirement. For example, a market participant may use the disclosedembodiments in a simulation or other analysis of a portfolio. In suchcases, the settlement price may be useful as an indication of a value atrisk and/or cash flow obligation rather than a performance bond. Thedisclosed embodiments may also be used by market participants or otherentities to forecast or predict the effects of a prospective position onthe margin requirement of the market participant.

The embodiments may be described in terms of a distributed computingsystem. The particular examples identify a specific set of componentsuseful in a futures and options exchange. However, many of thecomponents and inventive features are readily adapted to otherelectronic trading environments. The specific examples described hereinmay teach specific protocols and/or interfaces, although it should beunderstood that the principles involved may be extended to, or appliedin, other protocols and interfaces.

It should be appreciated that the plurality of entities utilizing orinvolved with the disclosed embodiments, e.g., the market participants,may be referred to by other nomenclature reflecting the role that theparticular entity is performing with respect to the disclosedembodiments and that a given entity may perform more than one roledepending upon the implementation and the nature of the particulartransaction being undertaken, as well as the entity's contractual and/orlegal relationship with another market participant and/or the exchange.

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedas acting in certain combinations and even initially claimed as such,one or more features from a claimed combination can in some cases beexcised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the described embodiments should not beunderstood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R. §1.72(b) and is submitted with the understanding that it will not be usedto interpret or limit the scope or meaning of the claims. In addition,in the foregoing Detailed Description, various features may be groupedtogether or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

What is claimed is:
 1. A computer implemented method for facilitation ofefficient processing of electronic messages communicated to anapplication via a network from one or more message sources, the methodcomprising: receiving, by a network device coupled with the network, anelectronic message including a recipient identifier, actionable objectdata and textual object data from a message source device, theactionable object data including one or more parameters actionable by atleast one first set of devices and the textual object data operable byat least one second set of devices; accessing, by a processor of thenetwork device, and in response to the recipient identifier of theelectronic message, a capabilities matrix that associates the at leastone first set of devices as being compatible with actionable object dataand associates the at least one second set of devices as beingcompatible with textual object data; receiving compatibility informationfrom the capabilities matrix for the recipient identifier; and sendingat least a portion of the electronic message to an endpoint device basedon the recipient identifier and the compatibility information.
 2. Thecomputer implemented method of claim 1, wherein at least one of thesecond set of devices compatible with the textual object data isincompatible with the actionable object data.
 3. The computerimplemented method of claim 1, wherein the actionable object data is notdependent on text of the electronic message.
 4. The computer implementedmethod of claim 1, further comprising: calculating, by the processor ofthe network device, an execution command for the actionable object data.5. The computer implemented method of claim 1, wherein when therecipient identifier matches at least one of the first set of devicescompatible with actionable object data, the actionable object data issent to the endpoint device to perform a transaction.
 6. The computerimplemented method of claim 1, wherein when the recipient identifiermatches at least one of the second set of devices compatible withtextual object data, the textual object data is sent for display at theendpoint device.
 7. The computer implemented method of claim 1, whereinthe electronic message is an instant message and the textual object dataincludes at least one freeform word.
 8. The computer implemented methodof claim 1, further comprising: determining, by the processor of thenetwork device, an identification code from the electronic message, theidentification code indicative of the message source device.
 9. Thecomputer implemented method of claim 8, further comprising: selectingthe endpoint device in response to the identification code or therecipient identifier.
 10. The computer implemented method of claim 8,further comprising: generating, by the processor of the network device,a receipt message in response to the electronic message; and sending thereceipt message to the message source device based on the identificationcode.
 11. The computer implemented method of claim 8, furthercomprising: selecting, by the processor of the network device, anintermediary device in response to the identification code, wherein theactionable object data is sent to the intermediary device.
 12. Thecomputer implemented method of claim 11, wherein the intermediary deviceis configured to perform a security check on the electronic message. 13.The computer implemented method of claim 1, further comprising: addingadditional textual object data to the electronic message in response toa user input.
 14. An apparatus comprising: a communication interfaceconfigured to receive an electronic message including a recipientidentifier, actionable object data and textual object data from amessage source device, the actionable object data including one or moreparameters actionable by at least one first set of devices and thetextual object data operable by at least one second set of devices; anda processor configured to access, in response to the recipientidentifier of the electronic message, a capabilities matrix thatassociates the at least one first set of devices as being compatiblewith actionable object data and associates the at least one second setof devices as being compatible with textual object data, whereincompatibility information is received from the capabilities matrix forthe recipient identifier, and wherein at least a portion of theelectronic message is forwarded to an endpoint device based on therecipient identifier and the compatibility information.
 15. Theapparatus of claim 14, wherein at least one of second set of devicescompatible with the textual object data is incompatible with theactionable object data.
 16. The apparatus of claim 14, wherein theactionable object is not dependent on text of the electronic message.17. The apparatus of claim 14, wherein when the recipient identifiermatches at least one first set of devices compatible with actionableobject data, the actionable object data is sent to the endpoint deviceto perform a transaction.
 18. The apparatus of claim 14, wherein whenthe recipient identifier matches at least one second set of devicescompatible with textual object data, the textual object data is sent fordisplay at the endpoint device.
 19. A system for facilitation ofefficient processing of instant messages communicated to an applicationvia a network from message sources, the system comprising: at least onememory operable to store the instant messages; at least one processorconfigured to cause the system to: receive, by a network device coupledwith the network, an electronic message including a recipientidentifier, actionable object data and textual object data from amessage source device, the actionable object data including one or moreparameters actionable by at least one first set of devices and thetextual object data operable by at least one second set of devices;access, in response to the recipient identifier of the electronicmessage, a capabilities matrix that associates the at least one firstset of devices as being compatible with actionable object data andassociates the at least one second set of devices as being compatiblewith textual object data; receive compatibility information from thecapabilities matrix for the recipient identifier; and send at least aportion of the electronic message to an endpoint device based on therecipient identifier and the compatibility information.
 20. The systemof claim 19, wherein the actionable object is not dependent on text ofthe electronic message.